Differential Information and Performance Measurement Using a Security Market Line
指出，使用均值方差和证券市场线分析来评估拥有信息优势的投资经理的绩效时，外部观察者很难得出可靠结论，因为经理的表现可能出现在证券市场线的任何位置。
ABSTRACT An uninformed observer using the tools of mean variance and security market line analysis to measure the performance of a portfolio manager who has superior information is unlikely to be able to make any reliable inferences. While some positive results of a very limited nature are possible, e.g., when there is a riskless asset or when information is restricted to be “security specific,” in general anything is possible. In particular, a manager with superior information can appear to the observer to be below or above the security market line and inside or outside of the mean‐variance efficient frontier, and any combination of these is possible.