Recent Works

We present below a carefully selected list of the most recent articles and books dealing with performance measurement.

Recent Articles:

  1. Agarwal, V., Mullally, K.A. and Naik, N.Y. (2015) The Economics and Finance of Hedge Funds: A Review of the Academic Literature, Foundations and Trends in Finance, 10(1), 1-111.
    Abstract / Where to find it
  2. Agnesens, J. (2013) A Statistically Robust Decomposition of Mutual Fund Performance, the Academic Literature, Foundations and Trends in Finance, 37(10), 3867-3877.
    Abstract / Where to find it
  3. Agyei-Ampomah, S., Clare, A., Mason, A. and Thomas, S. (2015) On luck versus Skill when Performance Benchmarks are Style-Consistent, Journal of Banking & Finance, 59, 127-145.
    Abstract / Where to find it
  4. Ardia, D. and Boudt, K. (2014) The peer performance of hedge funds. SSRN Working Paper 53 pages.
    Abstract / Where to find it
  5. Ardia, D. and Boudt, K. (2015) Testing Equality of Modified Sharpe Ratios. Finance Research Letters, 13, 97-104.
    Abstract / Where to find it
  6. Arthur, D., Schoenmaker, R., Hodkiewicz, M. and Muruvan, S. (2016) Asset Planning Performance Measurement, Proceedings of the 10th World Congress on Engineering Asset Management (WCEAM 2015), 79-95.
    Abstract / Where to find it
  7. Babalos, V., Mamatzakis, E. and Matousek R. (2015) The Performance of US Equity Mutual Funds, Journal of Banking & Finance, 52, 217-229.
    Abstract / Where to find it
  8. Banegas, A., Gillen, B. Timmermann, A. and Wermers, R. (2013) The Cross Section of Conditional Mutual Fund Performance in European Stock Markets. Journal of Financial Economics 108(3), 699-726.
    Abstract / Where to find it
  9. Barroso, P. and Santa-Clara, P. (2015) Momentum Has Its Moments. forthcoming in Journal of Financial Economics, 39 pages.
    Abstract / Where to find it
  10. Biagini, S. and Bion-Nadal, J. (2014) Dynamic Quasi Concave Performance Measures. Journal of Mathematical Economics, 55, 143-153.
    Abstract / Where to find it
  11. Biagini, S. and Pinar, M. (2015) The Best Gain-loss Ratio is a Poor Performance Measure. SIAM Journal of Financial Mathematics 4, 228-242.
    Abstract / Where to find it
  12. Billio, M., Jannin, G., Maillet, B. and Pelizzon, L. (2013) Portfolio Performance Measurement and A New Generalized Utility-based N-moment Measure. Working Paper, Ca'Foscari University of Venice, 34 pages.
    Abstract / Where to find it
  13. Billio, M., Caporin, M. and Costola, M. (2015) Backward/Forward Optimal Combination of Performance Measures for Equity Screening. The North American Journal of Economics and Finance, 34, 63-83.
    Abstract / Where to find it
  14. Bonaccolto, G., Caporin, M. and Paterlini, S. (2015) Asset Allocation Strategies Based on Penalized Quantile Regression. Working Paper 30 pages.
    Abstract / Where to find it
  15. Breloer, B., Scholz, H. and Wilkens, M. (2014) Performance of International and Global Equity Mutual Funds: do Country Momentum and Sector Momentum Matter?, Journal of Banking & Finance, 43, 58-77.
    Abstract / Where to find it
  16. Bosch-Badia, M., Montllor-Serrats, J. and Tarrazon-Rodon, M. (2014) Unveiling the Embedded Coherence in Divergent Performance Rankings, Journal of Banking & Finance, 42, 154-165.
    Abstract / Where to find it
  17. Caporin, M., Costola, M., Jannin, G. and Maillet, B. (2013) On the (Ab)Use of Omega? mimeo, 70 pages.
    Abstract / Where to find it - (coming soon...)
  18. Chan, P. and Walter, T. (2014) Investment Performance of “Environmentally-Friendly” Firms and their Initial Public Offers and Seasoned Equity Offers, Journal of Banking & Finance, 44, 177-188.
    Abstract / Where to find it
  19. Cherny, A. and Madan, D. (2009) New Measures for Performance Evaluation. Review of Financial Studies, 22(7), 2371-2406 pages.
    Abstract / Where to find it
  20. Cogneau, P. and Hübner, G. (2015) The Prediction of Fund Failure Through Performance Diagnostics. Journal of Banking & Finance, 50, 224-241.
    Abstract / Where to find it
  21. Costola, M. and Caporin, M. (2015) Rational Learning for Risk-Averse Investors by Conditioning on Behavioral Choices. University Ca' Foscari of Venice, Dept. of Economics Research Paper Series, 37 pages.
    Abstract / Where to find it
  22. Chrétien S. and Kammoun, M. (2015) Mutual Fund Performance Evaluation and Best Clienteles, Journal of Financial and Quantitative Analysis, Forthcoming, 65 pages.
    Abstract / Where to find it
  23. Datta, S., Gruskin, M. and Iskandar-Datta, M. (2015) On post-IPO Stock Price Performance: a Comparative Analysis of RLBOs and IPOs, Journal of Banking & Finance, 55, 187-203.
    Abstract / Where to find it
  24. Del Guercio, D. and Reuter, J. (2014) Mutual Fund Performance and the Incentive to Generate Alpha,Journal of Banking & Finance, 69(4), 1673-1704.
    Abstract / Where to find it
  25. Eling, M. (2012) A Decision-theoretic Foundation for Reward-to-risk Performance Measures. Journal of Banking and Finance, 36(7), 2077-2082.
    Abstract / Where to find it
  26. Eling, M. and Tibiletti, L. (2010) Sharpe Ratio for Skew-normal Distributions: a Skewness-dependent Performance Trade-off?. Journal of Performance Measurement, 14(4), 34-48.
    Abstract / Where to find it
  27. Eling, M. Tibiletti, L. Rossello, D. and Farinelli, S. (2011) One-size or Tailor-made Performance Ratios for Ranking Hedge Funds?. Journal of Derivatives and Hedge Funds, 16(4), 267-277.
    Abstract / Where to find it
  28. Elyasiani, E. and Zhang, L. (2015) Bank Holding Company Performance, Risk, and “Busy” Board of Directors, Journal of Banking & Finance, Volume 60, 239-251.
    Abstract / Where to find it
  29. Ferson, W. and Lin, J. (2014) Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity. The Journal of Finance, 69(4), 1565–1596.
    Abstract / Where to find it
  30. Ferson, W. and Mo, H. (2016) Alpha and Performance Measurement: The Effects of Investor Disagreement and HeterogeneityPerformance Measurement with Selectivity, Market and Volatility Timing. Journal of Financial Economics, 121(1), 93-110.
    Abstract / Where to find it
  31. Focardi, S., Fabozzi, F. and Mitov, I. (2016) A New Approach to Statistical Arbitrage: Strategies based on Dynamic Factor Models of Prices and their Performance, Journal of Banking & Finance, 65, 134-155.
    Abstract / Where to find it
  32. García-Meca, E., García-Sánchez, I. and Martínez-Ferrero, J. (2015) Board Diversity and its Effects on Bank Performance: an International Analysis, Journal of Banking & Finance, 53, 202-214.
    Abstract / Where to find it
  33. Gropper, M., Jahera J. and Park, J. (2015) Political Power, Economic Freedom and Congress: Effects on Bank Performance, Journal of Banking & Finance, 60, 76-92.
    Abstract / Where to find it
  34. Henke, H. and Mählmann, T. (2016) The Effect of Social Screening on Bond Mutual Fund Performance, Journal of Banking & Finance, In Press, Accepted Manuscript, Available online 24 February 2016.
    Abstract / Where to find it
  35. Herrmann, U. and Scholz, H. (2013) Short-term Persistence in Hybrid Mutual Fund Performance: the Role of Style-Shifting Abilities, Journal of Banking & Finance, 37(7), 2314-2328.
    Abstract / Where to find it
  36. Homm, U. and Pigorsch, C. (2012) Beyond the Sharpe Ratio: An Application of the Aumann-Serrano Index to Performance Measurement. Journal of Banking & Finance, 36, 27-36.
    Abstract / Where to find it
  37. Homm, U. and Pigorsch, C. (2012) An Operational Interpretation and Existence of the Aumann-Serrano Index of Riskiness. Economics Letters, 114, 265-267.
    Abstract / Where to find it
  38. Hsieg, H-H. and Hodnett, K. (2013) A Review of Performance Evaluation Measures for Actively-Managed Portfolios. Journal of Economics and Behavioral Studies 5(12), 815-824.
    Abstract / Where to find it
  39. Hunter, D. Kandel, E. Kandel, S. and Wermers, R. (2014) Mutual Fund Performance Evaluation with Active Peer Banchmarks. Journal of Financial Economics, 112(1), 1-29.
    Abstract / Where to find it
  40. Hyránek E., M. Grell, L. Nagy and J. Londák, (2016), "Model of Enterprise Financial Performance Measurement in Uncertain Market Environment of Central Europe", Mediterranean Journal of Social Sciences, 7(3), 97-109.
    Abstract / Where to find it
  41. Irresberger, F., Mühlnickel, J. and Weiß, G. (2015) Explaining Bank Stock Performance with Crisis Sentiment, Journal of Banking & Finance, 59, 311-329.
    Abstract / Where to find it
  42. Joenväärä, J., Klemelä, J. and Kosowski, R. (2013) The Economic Value and Statistical Properties of Manipulation-proof Performance Measures. Proceedings of the 5th Annual Hedge Fund Research Conference, NYSE Euronext, 62 pages.
    Abstract (coming soon...) / Where to find it
  43. Kadan, O. and Liu, F. (2014) Performance Evaluation with High Moments and Disaster Risk. Journal of Financial Economics, 113, 131-155.
    Abstract / Where to find it
  44. Kim, J., Song, B. and Zhang Y. (2015) Earnings Performance of Major Customers and Bank Loan Contracting with Suppliers, Journal of Banking & Finance59, 384-398.
    Abstract / Where to find it
  45. Korteweg, A. and Sorensen, M. (2015) Skill and Luck in Private Equity Performance. Journal of Financial Economics, 69 pages.
    Abstract / Where to find it
  46. Leon, A. and Moreno, M. (2017) One-Sided Performance Measures Under Gram-Charlier Distributions. Journal of Banking & Finance, 74, 38-50.
    Abstract / Where to find it
  47. Maillard, D. (2013) Manipulation Proof Performance Measure and the Cost of Tail Risk. SSRN Working Paper, 17 pages.
    Abstract / Where to find it
  48. Naghshbandi, N., Chouhan, V. and Jain, P. (2016) Value Based Measurement of Financial Performance. International Journal of Applied Research, 2(2), 365-369.
    Abstract / Where to find it
  49. Parida, S. and Terence, T. (2016) The Impact of More Frequent Portfolio Disclosure on Mutual Fund Performance, Journal of Banking & Finance, In Press, Accepted Manuscript, Available online 5 January 2016.
    Abstract / Where to find it
  50. Panopoulou, E. and Vrontos, S. (2015) Hedge Fund Return Predictability; To Combine Forecasts or Combine Information?. forthcoming in Journal of Banking & Finance, 37 pages.
    Abstract / Where to find it
  51. Roumpis E. and Syriopoulos, T. (2014) Dynamics and Risk Factors in Hedge Funds Returns: Implications for Portfolio Construction and Performance Evaluation. The Journal of Economic Asymmetries, 11, 58-77.
    Abstract / Where to find it
  52. Savov, A. (2013) The price of skill: Performance Evaluation by Households. Journal of Financial Economics, 112(2), 213-231.
    Abstract / Where to find it
  53. Savor, P., and Wilson, M. (2014) Asset pricing: A tale of two days. Journal of Financial Economics, 113(2), 171-201.
    Abstract / Where to find it
  54. Schuhmacher, F. and Eling, M. (2011) Sufficient Conditions for Expected Utility to Imply Drawdown-Based Performance Rankings. Journal of Banking and Finance, 35(9), 2311-2318.
    Abstract / Where to find it
  55. Smetters, K. and Zhang, X. (2014) A Sharper Ratio: A General Measure for Correctly Ranking Non-normal Investment Risks. Working Paper, 40 pages.
    Abstract / Where to find it
  56. van Heerden Ch., A. Heymans, Gary van Vuuren, Wilmé Brand (2014) A Risk-Adjusted Performance Evaluation of US and EU Hedge Funds and Associated Equity Markets over the 2007-2009 Financial Crisis, International Business & Economics Research Journal, 13(1), 169-190.
    Abstract / Where to find it

    van Heerden Ch. (2015) The Influence of Higher Moments and Non-Normality on the Sharpe Ratio: A South African Perspective. Journal of Applied Business Research, 31(1), 197-220.
    Abstract / Where to find it

  57. Voelzke, J. (2015) Weakening the Gain–Loss-Ratio Measure to make it Stronger. Finance Research Letters 12, 58-66.
    Abstract / Where to find it
  58. Wang, C., Chen, Y. and Yu, C. (2013) Managerial Optimism and post-Financing Stock Performance in Taiwan: a Comparison of Debt and Equity Financing, Journal of Banking & Finance, 119(3), 332-335.
    Abstract / Where to find it
  59. Yang, T. and Zhao, S. (2014) CEO Duality and Firm Performance: Evidence from an Exogenous Shock to the Competitive Environment, Journal of Banking & Finance, 49, 534-552.
    Abstract / Where to find it
  60. Yu, X. Xie, S. and Xu, W. (2014) Optimal Portfolio Strategy under Rolling Economic Maximum Drawdown Constraints. Mathematical Problems in Engineering, 2014, 11.
    Abstract / Where to find it
  61. Zervopoulos P.D., T.S. Brisimi, A. Emrouznejad and G. Cheng, (2016), "Performance Measurement with Multiple Interrelated Variables and Threshold Target Levels: Evidence from Retail Firms in the US", European Journal of Operational Research, 250(1), 262–272.
    Abstract / Where to find it
  62. Zielding, D., Mahayni, A. and Balder, S. (2014) Performance Evaluation of Optimized Portfolio Insurance Strategies Journal of Banking & Finance, 43, 212-225.
    Abstract / Where to find it

Surveys:

  1. Caporin, M., Jannin, G., Lisi, F. and Maillet, B. (2014) A Survey on the Four Families of Performance Measures. Journal of Economic Surveys 28(5), 917-942.
    Abstract / Where to find it
  2. Cogneau, P. and Hübner, G. (2009a) The (more than) 100 Ways to measure Portfolio Performance. Part 1: Standardized Risk-adjusted Measures. Journal of Performance Measurement 13: 56-71.
    Abstract / Where to find it
  3. Cogneau, P. and Hübner, G. (2009b) The (more than) 100 Ways to measure Portfolio Performance. Part 2: Special Measures and Comparison. Journal of Performance Measurement 14: 56-69.
    Abstract / Where to find it
  4. Cogneau, P. and Hübner, G. (2009a and 2009b) Technical Appendix: The (more than) 100 Ways to measure Portfolio Performance.
    Email the authors

Books:

In English:

  1. Amenc, N. and Le Sourd, V. (2003) Portfolio Theory and Performance Analysis. London: Wiley.
    Cover / Where to find it
  2. Bacon, C.R. (2008) Practical Portfolio Performance Measurement and Attribution. Chichester: Wiley.
    Cover / Where to find it
  3. Bacon, C.R. (2012) Practical Risk-Adjusted Performance Measurement. Chichester: Wiley.
    Cover / Where to find it
  4. Feibel, B. (2003) Investment Performance Measurement. Hoboken (NJ): Wiley.
    Cover / Where to find it
  5. Fischer, B.R. and Wermers, R. (2012) Performance Evaluation and Attribution of Security Portfolio. Oxford: Academic Press.
    Cover / Where to find it
  6. Knight, J. and Satchell, S.E. (2002) Performance Measurement in Finance. Oxford: Butterworth-Heinemann.
    Cover / Where to find it
  7. Marr, B. (2012) Key Performance Indicators (KPI): The 75 Measures every Manager needs to Know. Harlow: Pearson Financial Times Pub.
    Cover / Where to find it
  8. Mehrling, P. (2005) Fischer Black and the Revolutionary Idea of Finance. Hoboken: John Wiley & Sons, Inc, 403 pages.
    Cover / Where to find it
  9. Venanzi, D. (2012) Financial Performance Measures and Value Creation: The State of the Art. Milan: SpringerBriefs in Business.
    Cover / Where to find it

In French:

  1. Aftalion, F. and Poncet, P. (2003) Les techniques de mesure de performance. Paris: Economica.
    Cover / Where to find it
  2. Amenc, N. and Le Sourd, V. (1998) Gestion quantitative des portefeuilles d’actions. Paris: Economica.
    Cover / Where to find it
  3. Bodson, L., Grandin, P., Hübner G. and Lambert, M. (2010) Performance de portefeuille (2nd ed.). Paris: Pearson.
    Cover / Where to find it
  4. Cobbaut, R., Gillet, R. and Hübner, G. (2011) La gestion de portefeuille – instruments, stratégie et performance. Paris: De Boeck.
    Cover / Where to find it