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.
GRAHAM-HARVEY MEASURE 2
Meaning of GRAHAM-HARVEY MEASURE 2 in English
Campbell R. Harvey. Hypertextual finance English glossary. Английский словарь гипертекстовых финансов. 2012