AJIBM  Vol.6 No.4 , April 2016
Portfolio Performance Measurement: Review of Literature and Avenues of Future Research
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.
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.

[1]   Ferson, W. and Schadt, R. (1996) Measuring Fund Strategy and Performance in Changing Economic Conditions. Journal of Finance, 51, 425-462.

[2]   Sharpe, W.F. (1966) Mutual Fund Performance. Journal of Business, 1, 119-138.

[3]   Markowitz, H. (1952) Portfolio Selection. Journal of Finance, 7, 77-91.

[4]   Sortino, F. (1994) Performance Measurement in a Downside Risk Framework. Journal of Investing, 3, 59-65.

[5]   Modigliani, F. and Modigliani, L. (1997) Risk-Adjusted Performance. Journal of Portfolio Management, 23, 45-54.

[6]   Treynor, J. (1965) How to Rate Management of Investment Funds. Harvard Business Review, 41, 63-75.

[7]   Roll, R. (1977) A Critique of the Asset Pricing Theory’s Tests’ Part I: On Past and Potential Testability of the Theory. Journal of Financial Economics, 4, 129-176.

[8]   Jensen, M.C. (1968) The Performance of Mutual Funds in the Period 1945-1964. Journal of Finance, 23, 389-416.

[9]   Cogneau, P. and Hubner, G. (2009) The more than 100 Ways to Measure Portfolio Performance—Part 1: Standardized Risk-Adjusted Measures. Journal of Performance Measurement, 14, 56-69.

[10]   Treynor, J. and Mazuy, K. (1966) Can Mutual Funds Outguess the Market? Harvard Business Review, 44, 131-136.

[11]   Henriksson, R.D. and Merton, R.C. (1981) On the Market Timing and Investment Performance II: Statistical Procedures for Evaluating Forecasting Skills. Journal of Business, 54, 513-534.

[12]   Jagannathan, R. and Korajczyk, R. (1986) Assessing the Market Timing Performance of Managed Portfolios. Journal of Business, 59, 217-236.

[13]   Fama, E.F. and French, K.R. (1992) The Cross-Section of Expected Stock Returns. Journal of Finance, 47, 427-465.

[14]   Carhart, R.S. (1970) On the Persistence in Mutual Fund Performance. Journal of Finance, 52, 57-82.

[15]   Christopherson, J.A., Ferson, W. and Glassman, D.A. (1998) Conditioning Manager Alpha on Economic Information: Another Look at the Persistence of Performance. Journal of Portfolio Management, 5, 4-12.

[16]   Coggins, F., Beaulieu, M.C. and Gendron, M. (2009) Mutual Fund Daily Conditional Performance Evaluation. Journal of Financial Research, 32, 95-122.