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

Statistics

Number of views

134 (18 by ULiège)

Number of downloads

8 (5 by ULiège)

More statistics

Scopus citations^®

Scopus citations^®
without self-citations

OpenCitations

OpenAlex citations

publications

supporting

mentioning

contrasting

Smart Citations

Citing PublicationsSupportingMentioningContrasting

View Citations

See how this article has been cited at scite.ai

scite shows how a scientific paper has been cited by providing the context of the citation, a classification describing whether it supports, mentions, or contrasts the cited claim, and a label indicating in which section the citation was made.

Bibliography

Bodie, Z., A. Kane, and A. J. Marcus. Investments, 6th ed. New York: McGraw-Hill Irwin, 2005.
Brown, S. J., and W. N. Goetzmann. "Performance Persistence." Journal of Finance, vol. 50, no. 2 (1995), pp. 679-698.
Carhart, M. M. "On Persistence in Mutual Fund Performance." Journal of Finance, vol. 52, no. 1 (1997), pp. 57-82.
Carpenter, J. N., and A. W Lynch. "Survivorship Bias and Attrition Effects in Measures of Performance Persistence." Journal of Financial Economics, vol. 54, no. 3 (1999), pp. 337-374.
Christie, W. G., and R. D. Huang. "The Changing Functional Relation Between Stock Returns and Dividend Yields." Journal of Empirical Finance, vol. 2, no. 1 (1994), pp. 161-191.
Cohen, J. "A Coefficient of Agreement for Nominal Scales." Educational and Psychological Measurement, vol. 20 (1960), pp. 37-46.
Fama, E. F., and K. French. "Common Risk Factors in the Returns of Stocks and Bonds." Journal of Financial Economics, vol. 33, no. 1 (1993), pp. 3-56
Fleiss, J. L. Statistical Methods for Rates and Proportions. New York: John Wiley & Sons, 1981.
Goodwin, T. H. "The Information Ratio." Financial Analysts Journal, vol. 54, no. 4 (July/August 1998), pp. 34-43.
Goyal, A., and I. Welch. "Predicting the Equity Premium with Dividend Ratios." Management Science, vol. 49, no. 5 (2003), pp. 639-654.
Grinold, R. C., and R. N. Kahn. "Information Analysis." The Journal of Portfolio Management, vol. 18, no. 3 (Spring 1992), pp. 14-21.
Hübner, G. "The Generalized Treynor Ratio." Review of Finance, vol. 9, no. 3 (2005), pp. 415-435.
Jensen, M. J. "The Performance of Mutual Funds in the Period 1945-1964." Journal of Finance, vol. 23, no. 2 (1968), pp. 389-416.
Keating, C., and W F. Shadwick. "Omega: A Universal Performance Measure." Journal of Performance Measurement, vol. 6, no. 3 (Spring 2002), pp. 59-84.
Kothari, S. P., and J. B. Warner. "Evaluating Mutual Fund Performance." Journal of Finance, vol. 56, no. 5 (2001), pp. 1985-2010.
Landis, J. R., and G. G. Koch. "The Measurement of Observer Agreement for Categorical Data." Biometrics, vol. 33 (1977), pp. 159-174.
Ledoit, O., and M. Wolf. "Honey, I Shrunk the Sample Covariance Matrix." The Journal of Portfolio Management, vol. 30, no. 4 (Summer 2004), pp. 110-119.
Lin, Li-K. "A Concordance Correlation Coefficient to Evaluate Reproducibility." Biometria, vol. 45 (1989), pp. 255-268.
_. "A Note on the Concordance Correlation Coefficient." Biometrics, vol. 56 (2000), pp. 324-325.
Lintner, J. "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets." Review of Economics and Statistics, vol. 47, no. 1 (1965), pp. 13-37.
Litzenberger, R. H., and K. Ramaswamy. "The Effect of Personal Taxes and Dividends on Capital Asset Prices: Theory and Empirical Evidence." Journal of Financial Economics, vol. 7, no. 2 (1979), pp. 163-195.
Modigliani, F., and L. Modigliani. "Risk-Adjusted Performance." The Journal of Portfolio Management, vol. 23, no. 2 (Winter 1997), pp. 45-54.
Modigliani, F., and G. A. Pogue. "An Introduction to Risk and Return-II." Financial Analysts Journal, vol. 30, no. 3 (May/June 1974), pp. 69-86.
Richardson, M., and T. Smith. "A Test for Multivariate Normality in Stock Returns." Journal of Business, vol. 66, no. 2 (1993), pp. 295-321.
Sharpe, W. F. "Capital Asset Prices: A Theory for Market Equilibrium Under Conditions of Risk." Journal of Finance, vol. 19, no. 3 (1964), pp. 425-442.
_. "Mutual Fund Performance." Journal of Business, vol. 39, no. 1 (1966), pp. 119-138.
Sortino, F. A., and L. N. Price. "Performance Measurement in a Downside Risk Framework." The Journal of Investing, vol. 3, no. 3 (Fall 1994), pp. 59-65.
Treynor, J. L. "How to Rate Management Investment Funds." Harvard Business Review, vol. 43, no. 1 (January/February 1965), pp. 63-75.
_. "Toward a Theory of Market Value of Risky Assets." Working paper, 1961. Subsequently published in R. A. Korajczyk. Asset Pricing and Portfolio Performance: Models, Strategy and Performance Metrics. London: Risk Books, 1999.
Zhou, G. "Asset-Pricing Tests Under Alternative Distributions." Journal of Finance, vol. 48, no. 5 (1993), pp. 1927-1942.

Similar publications

Sorry the service is unavailable at the moment. Please try again later.

Name	Provider / Domaine	Expiration	Description
JSESSIONID	Oracle Corporation www.uliege.be	Session	General purpose platform session cookie, used by sites written in JSP. Usually used to maintain an anonymous user session by the server.
CookieScriptConsent	CookieScript .uliege.be	1 year	This cookie is used by Cookie-Script.com service to remember visitor cookie consent preferences. It is necessary for Cookie-Script.com cookie banner to work properly.

Name	Provider / Domaine	Expiration	Description
_pk_id	InnoCraft Ltd .uliege.be	1 year	Used to store a few details about the user such as the unique visitor ID
_pk_ses	InnoCraft Ltd .uliege.be	30 minutes	Short lived cookies used to temporarily store data for the visit
_pk_ref	InnoCraft Ltd .uliege.be	6 months	Used to store the attribution information, the referrer initially used to visit the website