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Original Research

EJMS. 1997; 3(3): 145-165


Maria do Ceu Ribeiro Cortez; Manuel Jose da Rocha Armada.


The evaluation of investment per- formance has been a major in Finance for the past decades, concerning both practitioners and academics. It is of particular interest to managers (it obviously intluentiates their com- pensation), clients/investors have theto know how their money was applied) and regulators (in order to know how portfolio managers are allocating resources in the economy). Finally, it is of considerable interest to academics, since significant evidence of su­ perior performance would violate the Efficient Market Hypothesis, which would have deep implications in Finance. The issue of measuring managers' performance has been discussed over three decades, and the debate still continues.Based on the capital asset pricing model (CAPM), Treynor (1965), Sharpe (i 966) and Jensen (1968) proposed risk-adjusted measures of perfor­ mance -the so called traditional measures of performance evaluation, which have been widely used, inside and outside the academic circles. However, their effectiveness in providing precise has been questioned measures of performance, especially since the seventies.

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