Classic performance indexes revisited: axiomatic and applications

In this short article we revisit three classic performance indexes: Sharpe, Treynor and Jensen, adding a fourth index, the Penalized Internal Rate of Return (PIRR), which is perfectly coherent with those three. We propose some axioms that support the logic of these indexes, identifying one exception...

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Bibliographic Details
Published inApplied economics letters Vol. 19; no. 5; pp. 467 - 470
Main Authors Gómez-Bezares, Fernando, Gómez-Bezares, Fernando R.
Format Journal Article
LanguageEnglish
Published London Taylor & Francis 01.03.2012
Taylor and Francis Journals
Taylor & Francis LLC
SeriesApplied Economics Letters
Subjects
axioms
Economic analysis
Economic indicators
Economic performance
Indexes
Linear models
linear penalization
quotient-based penalization
Rates of return
Studies
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Summary:In this short article we revisit three classic performance indexes: Sharpe, Treynor and Jensen, adding a fourth index, the Penalized Internal Rate of Return (PIRR), which is perfectly coherent with those three. We propose some axioms that support the logic of these indexes, identifying one exception for the Treynor index and warning about the problems of quotients use. All these are empirically supported.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:1350-4851
1466-4291
DOI:10.1080/13504851.2011.583211