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: Suggested Citation