The 101 Ways to Measure Portfolio Performance

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