Abstract
Empirical research on the performance of managed portfolios with multi-index models has only been using the alpha as performance metric. This paper assesses the ranking abilities of the alpha, the Information Ratio and the Generalized Treynor Ratio proposed by Hubner (2005) on a sample of directional mutual funds. The quality of a ranking scheme is examined along two dimensions: precision and stability. A precise measure will produce the same ranking of funds with alternative benchmark portfolios. A stable measure will produce the same ranking with different model specifications. For both criteria, the Generalized Treynor Ratio provides superior results, especially when nonparametric concordance measures are used.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
