TITLE:
Portfolio Performance Measurement: Review of Literature and Avenues of Future Research
AUTHORS:
Ahmed Marhfor
KEYWORDS:
Portfolio Performance, Traditional Measures, Conditional Performance Measures, Asset Selection, Market Timing, Jensen Alpha, Conditional Alpha
JOURNAL NAME:
American Journal of Industrial and Business Management,
Vol.6 No.4,
April
20,
2016
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.