%0 Journal Article %A Georges Hübner %T How Do Performance Measures Perform? %D 2007 %R 10.3905/jpm.2007.690607 %J The Journal of Portfolio Management %P 64-74 %V 33 %N 4 %X 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 %U https://jpm.pm-research.com/content/iijpormgmt/33/4/64.full.pdf