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- W2162151010 abstract "Sharpe-like ratios have been traditionally used to measure the performances of portfolio managers. However, they are known to suffer major drawbacks. Among them, two are intricate: (1) they are relative to a peer's performance and (2) the best score is generally assumed to correspond to a good portfolio allocation, with no guarantee on the goodness of this allocation. Last but not least (3) these measures suffer significant estimation errors leading to the inability to distinguish two managers' performances. In this paper, we propose a cross-sectional measure of portfolio performance dealing with these three issues. First, we define the score of a portfolio over a single period as the percentage of investable portfolios outperformed by this portfolio. This score quantifies the goodness of the allocation remedying drawbacks (1) and (2). The new information brought by the cross-sectionality of this score is then discussed through applications. Secondly, we build a performance index, as the average cross-section score over successive periods, whose estimation partially answers drawback (3). In order to assess its informativeness and using empirical data, we compare its forecasts with those of the Sharpe and Sortino ratios. The results show that our measure is the most robust and informative. It validates the utility of such cross-sectional performance measure." @default.
- W2162151010 created "2016-06-24" @default.
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- W2162151010 date "2010-01-01" @default.
- W2162151010 modified "2023-10-18" @default.
- W2162151010 title "A Cross-Sectional Performance Measure for Portfolio Management" @default.
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- W2162151010 doi "https://doi.org/10.2139/ssrn.2055135" @default.
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