Performance Metrics is an online platform sponsored by the Global Risk Institute in Financial Services that brings together leading international researchers and practitioners from the field of performance measurement. Through the website, participants can connect, contribute to each other’s work, and have access to various resources that can help to solve practical as well as research issues.
Dimensions of Performance Measurement
Performance measurement provides data and information necessary for investors and risk managers to make informed decisions. In technical terms, performance measurement indicates how well a particular investment behaves during a given time period.
Performance measures have a central role in finance. Indeed, they are valuable supports for investors, allowing them to ex post compare the rankings of investment portfolios and evaluate the real added value of managers. In addition, it is shown that performance can have a significant economic impact on inflows and outflows of funds (Cf. Hendricks et al., 1993; Powell et al., 2002). Furthermore, they are also relevant for building asset screens (see Grinold and Kahn, 1996), and they can be considered as an objective function in some asset allocation problems. This is true, in general, for managed portfolios, and, more specifically, for funds of funds (see, for instance, Farinelli and Tibiletti, 2008; Farinelli et al., 2008).
Sharpe (1966) is one of the precursors in the field of performance measurement. Then, a body of new measures emerged in the literature since the 70’s. To our knowledge, the most complete and recent studies are those of Aftalion and Poncet (2003), Le Sourd (2007), Bacon (2008), and Cogneau and Hübner (2009a and 2009b). But this is still an active area of research, and numerous approaches continuously come out.
The aim of this website is to present the most complete classifications of performance measures and the most recent research articles. This site will allow investors to choose an appropriate performance measure with respect to either their investment environment and/or their preferences. Furthermore, it will enable, more generally, users of performance measures to understand if they are using quantities belonging to the same family (and thus carrying similar information).