Graham-Harvey Measure 1

Definition:

Performance measure developed by John Graham and Campbell Harvey. The idea is to lever a fund's portfolio to exactly match the volatility of the S&P 500. The difference between the fund's levered return and the S&P 500 return is the performance measure.

Investing Essentials


Copyright © 2011 Campbell R. Harvey, Professor of Finance, Fuqua School of Business at Duke University

Term of the Day

Measurement error

Errors in measuring an explanatory variable in a regression, which leads to biases in estimated parameters.

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