How Stable are the Major Performance Measures?

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In this paper, the authors compare three usual performance measures of actively managed portfolios: Jensen’s Alpha, the Information Ratio (IR), and the newly proposed Generalized Treynor Ratio (GTR) indroduced by Hubner (2005). They focus on model specification sensitivity and persistence for a large sample of mutual funds from January 1996 to December 2006. Their results reveal that fund classification made with the GTR displays a higher stability while the IR exhibits a greater capacity to reveal persistence in performance.

Authors: Laurent Bodson, Alain Coen, Ph.D., and Georges Hubner, Ph.D.

In this paper, the authors compare three usual performance measures of actively managed portfolios: Jensen's Alpha, the Information Ratio (IR), and the newly proposed Generalized Treynor Ratio (GTR) indroduced by Hubner (2005). They focus on model specification sensitivity and persistence for a large sample of mutual funds from January 1996 to December 2006. Their results reveal that fund classification made with the GTR displays a higher stability while the IR exhibits a greater capacity to reveal persistence in performance.

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