PT  - JOURNAL ARTICLE
AU  - Georges Hübner
TI  - How Do Performance Measures Perform?
AID  - 10.3905/jpm.2007.690607
DP  - 2007 Jul 31
TA  - The Journal of Portfolio Management
PG  - 64--74
VI  - 33
IP  - 4
4099  - https://pm-research.com/content/33/4/64.short
4100  - https://pm-research.com/content/33/4/64.full
AB  - The relevance of the information ratio and the alpha, two leading performance measures for multi-index models, depends on the type of portfolio that investors hold. Comparison of these measures and the generalized Treynor ratio on the quality of the rankings they produce reveals that a precise measure yields similar rankings using alternative benchmarks. A stable measure produces the same rankings even with different model specifications. The outcome indicates the types of skills portfolio managers value. The generalized Treynor ratio provides better results for a sample of mutual funds, suggesting that managerial skills relate to the ability to generate alpha while controlling for systematic risk.TOPICS: Performance measurement, risk management, equity portfolio management