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http://dx.doi.org/10.1093/rfs/11.1.111

has been cited by the following article:

• TITLE: Portfolio Performance Measurement: Review of Literature and Avenues of Future Research

  AUTHORS: Ahmed Marhfor

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

  JOURNAL NAME: American Journal of Industrial and Business Management, Vol.6 No.4, April 20, 2016

  ABSTRACT: 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.