Reference : How Stable are the Major Performance Measures?
Scientific journals : Article
Business & economic sciences : Finance
http://hdl.handle.net/2268/2606
How Stable are the Major Performance Measures?
English
Bodson, Laurent mailto [Université de Liège - ULg > HEC - Ecole de gestion de l'ULg > Gestion financière >]
Coën, Alain mailto [Université de Liège - ULg > HEC - Ecole de gestion de l'ULg > Gestion de l'industrie des fonds d'investissement >]
Hübner, Georges mailto [Université de Liège - ULg > HEC - Ecole de gestion de l'ULg > Gestion financière >]
Nov-2008
Journal of Performance Measurement
Fall
21-30
Yes
International
1522-8746
[en] In this paper, the authors compare three usual performance measures of actively managed portfolios: Jensen’s Alpha, the Information Ratio (IR), and the newly proposed Generalized Treynor Ratio (GTR) introduced by Hübner (2005). They focus on model specification, sensitivity, and persistence for a large sample of mutual funds from January 1996 to December 2006. Their results reveal that fund classification made with the GTR displays a higher stability while the IR exhibits a greater capacity to reveal persistence in performance. The value of alpha is clearly contingent on model specifications and thus needs to be considered with greater caution to perform ranking of portfolio managers.
http://hdl.handle.net/2268/2606

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