How Do Performance Measures Perform

[en] The article presents a discussion on how various performance measures actually perform when used in investment portfolio management. The author discusses the empirical quality of performance measures such as information ratio (IR), focusing on directional managed portfolios, the Treynor ratio, and an empirical methodology that allows many of the usual errors associated with ratios to be avoided. The author also discusses multi-index models, style-based mutual funds, and style-adjusted performance.

Disciplines :

Finance

Author, co-author :

Hübner, Georges ; Université de Liège - ULiège > HEC-Ecole de gestion : UER > Gestion financière

Language :

English

Title :

How Do Performance Measures Perform

Publication date :

2007

Journal title :

Journal of Portfolio Management

ISSN :

0095-4918

eISSN :

2168-8656

Publisher :

Euromoney Institutional Investor PLC, New York, United States - New York

Volume :

Issue :

Pages :

64-74

Peer reviewed :

Peer Reviewed verified by ORBi

Available on ORBi :

since 07 January 2010

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130 (18 by ULiège)

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8 (5 by ULiège)

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