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This paper performs a census of the 107 performance measures for portfolios that have been proposed so far in the scientific literature. The authors discuss their main strengths and weaknesses and provide a classification based on their objectives, properties, and degree of generalization.
Author: Philippe Cogneau & Georges Hubner, Ph.D.
Description
This paper performs a census of the 107 performance measures for portfolios that have been proposed so far in the scientific literature. The authors 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. They show that several categories have been exhausted while others feature very heterogeneous ways to assess performance within the same sets of objectives. The census is divided into two parts. Part 1 introduces the general taxonomy and presents the 75 standardized risk-adjusted measures.
The (more than) 100 Ways to Measure Portfolio Performance Part 1: Standardized Risk-Adjusted Measure
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