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Graham harvey measure 2

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

 
 Embedded terms in definition
 Portfolio
Return
S&p 500
S&p
Volatility
 
 Related Terms
 Graham harvey measure 1
Internal measure

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