The Trouble with Performance Measurement

Posted: 27 Feb 2018

Date Written: April 30, 1986


My message is short and simple. I hope it is also stimulating, entertaining, alarming, depressing, and nihilistic. If you finish the article thinking you are measuring investment performance only because you don't know of any better way to spend your time (remuneratively, of course), I will be a happy man.

I am going to tell you why:

1. Nobody knows how to measure investment performance; 2. Nobody ever will know how to measure investment performance, and 3. Nobody would want to measure investment performance even if they did know how.

Keywords: Performance Measurement, Alpha, Beta, Portfolio Selection

JEL Classification: G00, G10, G11

Suggested Citation

Ferguson, Robert, The Trouble with Performance Measurement (April 30, 1986). Journal of Portfolio Management, Vol. 12, No. 3, 1986. Available at SSRN:

Robert Ferguson (Contact Author)

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