Reference : The (more than) 100 Ways to Measure Portfolio Performance. Part 1: Standardized Risk-Adj...
Scientific journals : Article
Business & economic sciences : Finance
http://hdl.handle.net/2268/2782
The (more than) 100 Ways to Measure Portfolio Performance. Part 1: Standardized Risk-Adjusted Measures
English
Cogneau, Philippe mailto [Université de Liège - ULg > > > Form. doct. sc. éco. & gest. (sc. gestion - Bologne)]
Hübner, Georges mailto [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Gestion financière >]
2009
Journal of Performance Measurement
13
Summer
56-71
Yes
International
1522-8746
[en] This paper performs a census of the 107 performance measures for portfolios that have been proposed so far in the scientific literature. We discuss their main strengths and weaknesses and provide a classification based on their objectives, properties and degree of generalization. The measures are categorized based on the general way they are computed: asset selection vs. market timing, standardized vs. individualized, absolute vs. relative and excess return vs. gain measure. We show that several categories have been exhausted while some others feature very heterogeneous ways to assess performance within the same sets of objectives. The census is divided in two parts. The current article (Part 1) introduces the general taxonomy and presents the 75 standardized risk-adjusted measures.
http://hdl.handle.net/2268/2782

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