TY - JOUR T1 - A Correlation-Based Portfolio Performance Measure JF - The Journal of Investing SP - 19 LP - 26 DO - 10.3905/joi.2019.28.6.019 VL - 28 IS - 6 AU - Gunter Meissner Y1 - 2019/09/30 UR - https://pm-research.com/content/28/6/19.abstract N2 - 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 ER -