World Picture

   Performance Metrics is an online platform sponsored by the Global Risk Institute in Financial Services that brings together leading international researchers and practitioners from the field of performance measurement. Through the website, participants can connect, contribute to each other’s work, and have access to various resources that can help to solve practical as well as research issues.

Dimensions of Performance Measurement

Performance measurement provides data and information necessary for investors and risk managers to make informed decisions. In technical terms, performance measurement indicates how well a particular investment behaves during a given time period.

Performance measures have a central role in finance. Indeed, they are valuable supports for investors, allowing them to ex post compare the rankings of investment portfolios and evaluate the real added value of managers. In addition, it is shown that performance can have a significant economic impact on inflows and outflows of funds (Cf. Hendricks et al., 1993; Powell et al., 2002). Furthermore, they are also relevant for building asset screens (see Grinold and Kahn, 1996), and they can be considered as an objective function in some asset allocation problems. This is true, in general, for managed portfolios, and, more specifically, for funds of funds (see, for instance, Farinelli and Tibiletti, 2008; Farinelli et al., 2008).

Sharpe (1966) is one of the precursors in the field of performance measurement. Then, a body of new measures emerged in the literature since the 70’s. To our knowledge, the most complete and recent studies are those of Aftalion and Poncet (2003), Le Sourd (2007), Bacon (2008), and Cogneau and Hübner (2009a and 2009b). But this is still an active area of research, and numerous approaches continuously come out.

The aim of this website is to present the most complete classifications of performance measures and the most recent research articles. This site will allow investors to choose an appropriate performance measure with respect to either their investment environment and/or their preferences. Furthermore, it will enable, more generally, users of performance measures to understand if they are using quantities belonging to the same family (and thus carrying similar information).

Map of the Website

Taxonomy Table

This page presents a first version of the taxonomy table of performance measures. This table presents the main performance measures divided into four families, such as the relative performance measures, absolute performance measures, density-based performance measures and utility-based performance measures.

Recent Works

You will find in this page a carefully selected list of articles and in-progress working papers, covering a selection of some of the most recent advances in the current performance measurement literature.

Reference List

A complete list of the most important articles and books dealing with performance measurement is provided here (please do not hesitate to contact us to enrich our collection of papers – from a basic introduction to the most advanced complex approaches developed in the field).

Performance Glossary

We briefly present the definitions of some of the most important performance measures (and related concepts) developed by the literature. For every definition, you will also find a link to a related paper.

General Glossary

A general financial glossary with terms clearly defined and explained is provided on this page. It covers stocks, bonds, derivatives, market finance, corporate finance, banking, financial risk, econometrics, among others.


The Performance Metrics team is composed of a number of leading international researchers, academics and professionals from the fields of finance, economics, mathematics and statistics, that kindly accepted to participate in this original initiative. In this page, you will find a brief biography of each research contributor of this website.


Here we provide an enlarged list of external links to access the websites of leading expert researchers and providers of data, softwares and resources for searching for academic papers (please feel free to contact us with any suggestions or complements you might think useful).


We are interested in hearing from you regarding any questions, comments and feedback about this website. Please feel free to send us an email by filling out the contact form below, or contact our research contributors directly.


This website is provided for information purposes only and does not constitute a recommendation, invitation or offer to buy or sell any product. It is distributed under a BSD style license. Furthermore, any opinions expressed on documents published on this website (mainly working or opinion papers and academic articles in peer-referee journals) belong only to its authors and do not necessarily reflect the views of their employers. In any case, the usual disclaimers apply.

Copyright 2016 Performance Metrics
Version 1.0 - Distributed under a BSD style licence with the usual disclaimer Variances

Powered by