Selecting a risk-adjusted shareholder performance measure

Christian S Pedersen () and Ted Rudholm-Alfvin
Additional contact information
Christian S Pedersen: Mercer Oliver Wyman

Journal of Asset Management, 2003, vol. 4, issue 3, No 2, 152-172

Abstract: Abstract The emergence of ‘alternative’ investment opportunities, the current bear market and the Wall Street analysts' conflict of interest debacle have put pressure on current investment performance measurement methodologies. This paper presents a survey of classic and modern performance measures and assesses them against objective criteria. Depending upon the market, industry or group of assets studied and the preferences of investors, different measures gain favour, and key questions to address when selecting an appropriate performance measure are proposed. The arguments are demonstrated empirically for the global financial services sector, for which strong evidence in support of using Sharpe ratio-based measures is documented. As a comparison, the paper also looks at firms listed on the UK Alternative Investment Market (AIM), for which a divergence of rankings based on alternative measures is illustrated. General implications for risk management and asset allocations across different asset classes are discussed.

Keywords: risk-adjusted performance; downside risk; asset management (search for similar items in EconPapers)
Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://link.springer.com/10.1057/palgrave.jam.2240101 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
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: https://EconPapers.repec.org/RePEc:pal:assmgt:v:4:y:2003:i:3:d:10.1057_palgrave.jam.2240101

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/palgrave.jam.2240101

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().