A note on why doesn't the choice of performance measure matter?

Biao Guo and Yugu Xiao

Finance Research Letters, 2016, vol. 16, issue C, 248-254

Abstract: Choosing an appropriate performance measure is important for fund investors, nevertheless, many researchers find empirically that the choice of measures does not matter because those measures generate identical rank ordering, even though the distribution of fund returns is non-normal. In this paper we certify their findings by proving the monotonicity of several widely used performance measures when the distribution is a location-scale family. The mutual fund monthly return data from 1997 to 2015, together with simulation results, collaborate with our proof.

Keywords: Performance measurement; Rank correlation; Sharpe ratio; Fund evaluation (search for similar items in EconPapers)
JEL-codes: G10 G11 G23 G29 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:16:y:2016:i:c:p:248-254

DOI: 10.1016/j.frl.2015.12.001

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