A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES
综述了自1966年夏普比率以来出现的数十种绩效度量指标，将其分为相对、绝对、基于收益分布特征和考虑投资者效用四类，适合金融学者和从业者快速了解该领域全貌。
Abstract Performance measurement is one of the most studied subjects in financial literature. Since the introduction of the Sharpe ratio in 1966, a large variety of new measures has appeared constantly in scientific journals as well as in practitioners' publications. The most complete and significant studies of performance measures, so far, have been written by Aftalion and Poncet, Le Sourd, Bacon, and Cogneau and H übner. A review of the most recent literature led us to collect several dozen measures that we classify into four families. We first present the class of relative measures, starting with the Sharpe ratio. Secondly, we analyse absolute measures, beginning with the most famous one ‐ the Jensen alpha . Thirdly, we study general measures based on specific features of the return distribution, where the pioneering contributions are those of Bernardo and Ledoit, and Keating and Shadwick. Finally, the fourth set concerns a few measures that explicitly take into account the investor's utility functions.