RT Journal Article SR Electronic T1 On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary Note JF The Journal of Portfolio Management FD Institutional Investor Journals SP 92 OP 104 DO 10.3905/jpm.2010.37.1.092 VO 37 IS 1 A1 Valeri Zakamouline YR 2010 UL https://pm-research.com/content/37/1/92.abstract AB The portfolio performance measures based on the Value at Risk (VaR) concept have gained widespread popularity and are often used in empirical studies. In the majority of empirical studies, however, a VaR-based performance measure is inconsistently used. In this article, Zakamouline emphasizes how to consistently use VaR in portfolio performance evaluation. He also elaborates on a simple framework that allows the derivation of a general formula for a portfolio performance measure that is not limited to the use of VaR-based reward and risk measures, but is valid for all reward and risk measures that satisfy a few plausible properties.TOPICS: Performance measurement, VAR and use of alternative risk measures of trading risk, quantitative methods