Hansen and Jagannathan (1991) (hereafter HJ) derive restrictions on the volatility of stochastic discount factors that price a given set of returns. This article studies the sampling properties of HJ bounds that use conditioning information. One approach is to multiply the returns by the lagged...

This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to...