How Do Performance Measures Perform?
研究了信息比率、阿尔法和广义特雷诺比率这三种绩效衡量指标在不同投资组合类型下的表现，发现广义特雷诺比率对共同基金样本的排名更优，表明基金经理的技能与在控制系统性风险的同时产生阿尔法的能力相关。
The relevance of the information ratio and the alpha, two leading performance measures for multi-index models, depends on the type of portfolio that investors hold. Comparison of these measures and the generalized Treynor ratio on the quality of the rankings they produce reveals that a precise measure yields similar rankings using alternative benchmarks. A stable measure produces the same rankings even with different model specifications. The outcome indicates the types of skills portfolio managers value. The generalized Treynor ratio provides better results for a sample of mutual funds, suggesting that managerial skills relate to the ability to generate alpha while controlling for systematic risk. <bold>TOPICS:</bold> <ext-link>Performance measurement</ext-link>, <ext-link>risk management</ext-link>, <ext-link>equity portfolio management</ext-link>