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.

Author(s):

Georges HübnerAffiliate Professor of Finance, EDHEC Business School.

We compare these measures with the generalized treynor ratio (GT R) on the quality of the rankings they produce. A precise measure yields similar rankings with alternative benchmarks. A stable measure leaves unchanged rankings with different model specifications. The outcome indicates the types of skills emphasized by portfolio managers. The GTR provides superior results with our sample of mutual funds, suggesting that managerial skills relate to the ability to generate alpha while controlling for systematic risk.

Type: Working paper
Date: le 05/03/2007
Research Cluster : Finance

See Also

Financial Times ranks EDHEC Executive Education among the Top 10 worldwide
News
- 23-05-2022
EDHEC Business School’s executive education offers rank among the Top 10 globally...
EDHEC partners with VIVATECH 2022 and offers 400 tickets to EDHEC students
News
- 20-05-2022
EDHEC is once again a partner of the unmissable tech event of the year, Viva Technology...
(Invitation) Inauguration of the Management in Innovative Health Chair - May 30, 2022 in Paris
News
- 17-05-2022
Emmanuel Métais, Dean of EDHEC Business School and Christophe Durand, General Manager...
News
- 10-05-2022
Live on YouTube !