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Home» Product » The (more than) 100 Ways to Measure Portfolio Performance Part 2: Special Measures and Comparison

The (more than) 100 Ways to Measure Portfolio Performance Part 2: Special Measures and Comparison

Posted by admin - May 18, 2014 -
0

$25.00

This paper performs a census of th 107 performance measures for portfolios that have been propsed so far in scientific literature.  We discuss the main strengths and weaknesses and provide a clasification based on their objectives, properties, and degree of generalization.

Authors: Philippe Cogneau, HEC – Managment School of the University of Liege and Georges Hubner, Ph.D., HEC – Management School of the University of Liege

SKU: Fall200914-1-5 Category: Articles Tag: Portfolio Performance
  • Description

Description

This paper performs a census of th 107 performance measures for portfolios that have been propsed so far in scientific literature.  We discuss the main strengths and weaknesses and provide a clasification 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.

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