Investor-Specific Performance Measurement: A Justification of Sharpe Ratio and Treynor Ratio

The International Journal of Finance, 2005, Vol. 17, No. 4, pp. 3671-3691

Posted: 9 Jun 2004 Last revised: 18 Mar 2011

See all articles by Hendrik Scholz

Hendrik Scholz

Friedrich-Alexander-Universität Erlangen-Nürnberg

Marco Wilkens

University of Augsburg

Abstract

This article defines the investor-specific performance measure ISM necessary for investors in practically relevant decision situations. In such situations a typical investor creates an overall portfolio consisting of three parts: an arbitrary fund, a risk-free asset and an existing, fixed portfolio. Since the ISM is considerably defined by the Sharpe ratio and the Treynor ratio, an economic justification of these traditional performance measures is also presented here.

Keywords: Mutual Funds, Performance Measurement, Sharpe Ratio, Treynor Ratio

JEL Classification: G11

Suggested Citation

Scholz, Hendrik and Wilkens, Marco, Investor-Specific Performance Measurement: A Justification of Sharpe Ratio and Treynor Ratio. The International Journal of Finance, 2005, Vol. 17, No. 4, pp. 3671-3691. Available at SSRN: https://ssrn.com/abstract=555840

Hendrik Scholz (Contact Author)

Friedrich-Alexander-Universität Erlangen-Nürnberg ( email )

Lange Gasse 20
Lange Gasse 20,
Nürnberg, 90403
Germany

Marco Wilkens

University of Augsburg ( email )

Universitaetsstr. 16
Augsburg, 86159
Germany
+49 821 598 4124 (Phone)
+49 821 598 4223 (Fax)

HOME PAGE: http://www.wiwi.uni-augsburg.de/bwl/wilkens/team/wilkens_marco/

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