The Analytics of Performance Measurement Using a Security Market Line
从理论角度审视证券市场线（SML）分析，指出在对称信息和非有效指数下，SML分析可能严重误导，因为有效和无效组合都可能落在SML上下；但若使用无风险利率，有效组合必在SML之上。
ABSTRACT Security market line (SML) analysis, while an important tool, has never been fully justified from a theoretical standpoint. Assuming symmetric information and an inefficient index, we show that SML analysis can be grossly misleading, since, in general, efficient and inefficient portfolios can plot above and below the SML. On a more positive note, if SML analysis uses the return on a marketed riskless asset for the zero‐beta rate, efficient portfolios must plot above the SML. Nonetheless, arbitrarily inefficient portfolios also plot above the SML.