Variance Drain

@inproceedings{Messmore1995VarianceD,
  title={Variance Drain},
  author={Thomas E. Messmore},
  year={1995}
}
or investors, there is an important difference between mean or average return and compound return over time. Too often, this difference or F leakage, whch I call “variance drain,” is overlooked, unquantified, or, worse still, misunderstood by both investing clients and their investment managers. The purpose of this article is to discuss this important difference, rigorously derive a convenient approximation formula for measuring and prelcting it, quanti@ and establish when the impact is… 

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