Small Sample Analysis of Performance Measures in the Asymmetric Response Model
在非对称响应模型框架下重新审视夏普比率、特雷诺指数和詹森阿尔法三种经典绩效统计量，引入与下行风险相关的多种贝塔概念，并基于15只美国新兴市场基金数据做小样本实证分析。
This paper reviews and extends definitions and properties of the three classical performance statistics (the Sharpe Ratio, the Treynor Index, and Jensen's Alpha) by locating them in a more general framework: the Asymmetric Response Mode. This allows various notions of beta, which can be related to downside risk, to be employed, and includes, as special cases, a market timing model and the mean-variance CAPM. Due to the general lack of data on fund performance in practice, our emphasis is on small sample analysis where possible. We illustrate our results empirically using data on 15 U.S.-based emerging markets investment funds.