Feed conversion efficiency (FCE) is a composite measure that combines feed intake with growth rate to estimate the effectiveness by which feed is converted to saleable meat product, and is a major determinant of production system efficiency. We measured the relationships between feed intake to apparent satiety and weight gain in replicate half‐sib families of black bream at four times over a 56‐day test period. After 42 days, we found significant additive genetic variance in both weight gain and feed intake, and a stabilization in family group variation in both traits. This indicates that 42 days is the minimum test period over which to measure genetic variation for FCE in black bream. There were high, positive phenotypic (and probably genetic) correlations between weight gain and feed intake after 42 days. We found no detectable genetic variation for either feed efficiency (weight gain/feed intake), or residual feed intake, which is a linear function that distinguishes between the amount of feed intake that is used for body maintenance and that used for growth. We argue that selection for improved FCE might be better achieved not by using a composite measure, but by using a weighted selection index that accounts for the genetic covariance among weight gain, feed intake and other key production traits.