PT - JOURNAL ARTICLE AU - Gunter Meissner TI - A Correlation-Based Portfolio Performance Measure AID - 10.3905/joi.2019.28.6.019 DP - 2019 Sep 30 TA - The Journal of Investing PG - 19--26 VI - 28 IP - 6 4099 - https://pm-research.com/content/28/6/19.short 4100 - https://pm-research.com/content/28/6/19.full AB - The authors develop a new correlation-based portfolio performance measure: the return of a portfolio minus the risk-free rate divided by the average of the portfolio return’s coefficient of determination matrix. This measure informs an investor how skilled the manager is in achieving a high return with respect to correlation risk as well as how skilled the manager is in applying diversification benefits. The authors derive several extensions of the correlation ratio. The authors also show that correlation of correlation is a sensible and informative concept for manager evaluation.TOPICS: Portfolio construction, performance measurement, statistical methods