Measuring Investor Outcomes
本文质疑传统投资回报衡量指标（如夏普比率）的适用性，提出应关注回报序列风险、投资者异质性及实际提款能力，并呼吁开发新的计量工具。
ABSTRACT Should measures of investment returns focus on representative or non‐representative investors? Should we consider only the magnitude of accumulated portfolio value relative to investment, or should we highlight the series of withdrawals to fund real activities that an investment can sustain? Should we ignore the importance of the time ordering of returns (distinct from the overall level), or should we consider “return sequence risk”? I argue herein that we should be thinking more about these issues, and in particular should be less focused on arithmetic means of short horizon returns, as employed in Sharpe ratios, alphas, and portfolio comparisons. I discuss some candidate methods, and highlight the need for expanded econometric tools to allow inference regarding alternative measures of returns.