Author(s)

Ahmed Marhfor

University of Quebec in Abitibi-Témiscamingue (UQAT), Rouyn-Noranda, Canada.

This study provides a review of the main measures of portfolio performance. We discuss their weaknesses and distinguish between traditional performance measures and more recent conditional performance measures. We show that the conditional approach addresses one major shortcoming of the traditional approach (risk stability assumption). Conditional measures allow expected returns and risk to vary with the state of the economy. We also propose new avenues for future research and some improvements to the existing measures.

Portfolio Performance, Traditional Measures, Conditional Performance Measures, Asset Selection, Market Timing, Jensen Alpha, Conditional Alpha

Marhfor, A. (2016) Portfolio Performance Measurement: Review of Literature and Avenues of Future Research. American Journal of Industrial and Business Management, 6, 432-438. doi: 10.4236/ajibm.2016.64039.