Research and publications
How Do Performance Measures Perform?
The relevance of the information ratio and the alpha, two leading performance measures for multi-index models, depends on the type of portfolio held by investors. This paper compares these measures with the generalized treynor ratio (GTR) on the quality of the rankings they produce. A precise measure yields similar rankings with alternative benchmarks. A revisited version of this paper was published in the Summer 2007 issue of the Journal of Portfolio Management.
Author(s):
Georges Hübner
Summary:
The relevance of the information ratio and the alpha, two leading performance measures for multi-index models, depends on the type of portfolio held by investors. This paper compares these measures with the generalized treynor ratio (GTR) on the quality of the rankings they produce. A precise measure yields similar rankings with alternative benchmarks. A revisited version of this paper was published in the Summer 2007 issue of the Journal of Portfolio Management.
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Register/Log in| Type : | Working paper |
|---|---|
| Date : | 03/05/2007 |
| Keywords : |
Performance Measurement |
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