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The (more than) 100 Ways to Measure Portfolio Performance Part 2: Special Measures and Comparison
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The (more than) 100 Ways to Measure Portfolio Performance Part 2: Special Measures and Comparison
AF20091416
Authors: Philippe Cogneau, HEC - Managment School of the University of Liege and Georges Hubner, Ph.D., HEC - Management School of the University of Liege
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This paper performs a census of th 107 performance measures for portfolios that have been propsed so far in scientific literature. We discuss the main strengths and weaknesses and provide a clasification based on their objectives, properties, and degree of generalization. The measures are categorized based on the general way they are computed: asset selection vs. market timing, standardized vs. individualized, absolute vs. relative, and excess return vs. gain measure.
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