TY - JOUR T1 - How Do Performance Measures Perform? JF - The Journal of Portfolio Management SP - 64 LP - 74 DO - 10.3905/jpm.2007.690607 VL - 33 IS - 4 AU - Georges Hübner Y1 - 2007/07/31 UR - https://pm-research.com/content/33/4/64.abstract N2 - 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 ER -