Economics at your fingertips  


Massimiliano Caporin (), Gregory Jannin, Francesco Lisi () and Bertrand Maillet

Journal of Economic Surveys, 2014, vol. 28, issue 5, 917-942

Abstract: Performance measurement is one of the most studied subjects in financial literature. Since the introduction of the Sharpe ratio in 1966, a large variety of new measures has appeared constantly in scientific journals as well as in practitioners' publications. The most complete and significant studies of performance measures, so far, have been written by Aftalion and Poncet, Le Sourd, Bacon, and Cogneau and H übner. A review of the most recent literature led us to collect several dozen measures that we classify into four families. We first present the class of relative measures, starting with the Sharpe ratio. Secondly, we analyse absolute measures, beginning with the most famous one - the Jensen alpha. Thirdly, we study general measures based on specific features of the return distribution, where the pioneering contributions are those of Bernardo and Ledoit, and Keating and Shadwick. Finally, the fourth set concerns a few measures that explicitly take into account the investor's utility functions.

Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25) Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: A Survey on the Four Families of Performance Measures (2014)
Working Paper: A Survey on the Four Families of Performance Measures (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0950-0804

Access Statistics for this article

More articles in Journal of Economic Surveys from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2020-05-29
Handle: RePEc:bla:jecsur:v:28:y:2014:i:5:p:917-942