Portfolio Performance Measurement: Review of Literature and Avenues of Future Research

Ahmed  Marhfor

doi:10.4236/ajibm.2016.64039

Ahmed Marhfor

Abstract: This study provides a review of the main measures of portfolio performance. We discuss their weaknesses and distinguish between traditional performance measures and more recent conditional performance measures. We show that the conditional approach addresses one major shortcoming of the traditional approach (risk stability assumption). Conditional measures allow expected returns and risk to vary with the state of the economy. We also propose new avenues for future research and some improvements to the existing measures.

Keywords: Portfolio Performance, Traditional Measures, Conditional Performance Measures, Asset Selection, Market Timing, Jensen Alpha, Conditional Alpha

Cite this paper: Marhfor, A. (2016) Portfolio Performance Measurement: Review of Literature and Avenues of Future Research. American Journal of Industrial and Business Management, 6, 432-438. doi: 10.4236/ajibm.2016.64039.

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