A Survey on the Four Families of Performance Measures

26 Pages Posted: 28 Oct 2014

See all articles by Massimiliano Caporin

Massimiliano Caporin

University of Padua - Department of Statistical Sciences

Gregory Mathieu Jannin

University Paris-1 Panthéon-Sorbonne; ABN AMRO ADVISORS - QCG

Francesco Lisi

University of Padua - Department of Statistical Sciences

Bertrand B. Maillet

EMLyon Business School (Paris Campus)

Date Written: December 2014

Abstract

Performance measurement is one of the most studied subjects in financial literature. Since the introduction of the Sharpe ratio in 1966, a large variety of new measures has appeared constantly in scientific journals as well as in practitioners' publications. The most complete and significant studies of performance measures, so far, have been written by Aftalion and Poncet, Le Sourd, Bacon, and Cogneau and H übner. A review of the most recent literature led us to collect several dozen measures that we classify into four families. We first present the class of relative measures, starting with the Sharpe ratio. Secondly, we analyse absolute measures, beginning with the most famous one ‐ the Jensen alpha. Thirdly, we study general measures based on specific features of the return distribution, where the pioneering contributions are those of Bernardo and Ledoit, and Keating and Shadwick. Finally, the fourth set concerns a few measures that explicitly take into account the investor's utility functions.

Keywords: Fund selection, Performance measures, Ranking, Return Distribution, Risk

Suggested Citation

Caporin, Massimiliano and Jannin, Gregory Mathieu and Lisi, Francesco and Maillet, Bertrand B., A Survey on the Four Families of Performance Measures (December 2014). Journal of Economic Surveys, Vol. 28, Issue 5, pp. 917-942, 2014. Available at SSRN: https://ssrn.com/abstract=2515604 or http://dx.doi.org/10.1111/joes.12041

Massimiliano Caporin (Contact Author)

University of Padua - Department of Statistical Sciences ( email )

Via Battisti, 241
Padova, 35121
Italy

Gregory Mathieu Jannin

University Paris-1 Panthéon-Sorbonne ( email )

Department of Management Sciences (PRISM-Sorbonne)
17 rue de la Sorbonne
Paris, 75005
France

HOME PAGE: http://www.univ-paris1.gregoryjannin.com

ABN AMRO ADVISORS - QCG ( email )

3 avenue hoche
Paris, 75008
France

HOME PAGE: http://www.abnamro.com

Francesco Lisi

University of Padua - Department of Statistical Sciences ( email )

V. Cesare Battisti, 241
Padova, 35122
Italy
+39 049 8274182 (Phone)
+39 049 8274170 (Fax)

Bertrand B. Maillet

EMLyon Business School (Paris Campus) ( email )

23 Avenue Guy de Collongue
Ecully, 69132
France

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