RT Journal Article
SR Electronic
T1 How Do Performance Measures Perform?
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 64
OP 74
DO 10.3905/jpm.2007.690607
VO 33
IS 4
A1 Georges Hübner
YR 2007
UL https://pm-research.com/content/33/4/64.abstract
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