The 101 Ways to Measure Portfolio Performance

40 Pages Posted: 13 Jan 2009 Last revised: 27 Jul 2012

See all articles by Philippe Cogneau

Philippe Cogneau

University of Liege - HEC Management School; EDHEC Business School - Department of Economics & Finance

Georges Hübner

HEC Liège

Date Written: January 11, 2009

Abstract

This paper performs a census of the 101 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.

Note. The definitive version of this working paper was published by the "Journal of Performance Measurement" in two parts: - “The (more than) 100 Ways to Measure Portfolio Performance - Part 1: Standardized Risk-Adjusted Measures”, Journal of Performance Measurement, Vol. 13, N° 4, Summer 2009, pp. 56-71. - “The (more than) 100 Ways to Measure Portfolio Performance - Part 2: Special Measures and Comparison”, Journal of Performance Measurement, Vol. 14, N° 1, Fall 2009, pp. 56-69.

Keywords: performance measurement, portfolio, funds, Sharpe, alpha, Treynor, market timing

JEL Classification: G11

Suggested Citation

Cogneau, Philippe and Hübner, Georges, The 101 Ways to Measure Portfolio Performance (January 11, 2009). Available at SSRN: https://ssrn.com/abstract=1326076 or http://dx.doi.org/10.2139/ssrn.1326076

Philippe Cogneau (Contact Author)

University of Liege - HEC Management School ( email )

Liège, 4000
Belgium

EDHEC Business School - Department of Economics & Finance ( email )

France

Georges Hübner

HEC Liège ( email )

Rue Louvrex 14, Bldg. N1
Liege, 4000
Belgium
+32 42327428 (Phone)

Register to save articles to
your library

Register

Paper statistics

Downloads
2,511
Abstract Views
6,674
rank
4,857
PlumX Metrics