@article {H{\"u}bner64, author = {Georges H{\"u}bner}, title = {How Do Performance Measures Perform?}, volume = {33}, number = {4}, pages = {64--74}, year = {2007}, doi = {10.3905/jpm.2007.690607}, publisher = {Institutional Investor Journals Umbrella}, abstract = {The relevance of the information ratio and the alpha, two leading performance measures for multi-index models, depends on the type of portfolio that investors hold. Comparison of these measures and the generalized Treynor ratio on the quality of the rankings they produce reveals that a precise measure yields similar rankings using alternative benchmarks. A stable measure produces the same rankings even with different model specifications. The outcome indicates the types of skills portfolio managers value. The generalized Treynor ratio provides better results for a sample of mutual funds, suggesting that managerial skills relate to the ability to generate alpha while controlling for systematic risk.TOPICS: Performance measurement, risk management, equity portfolio management}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/33/4/64}, eprint = {https://jpm.pm-research.com/content/33/4/64.full.pdf}, journal = {The Journal of Portfolio Management} }