ABSTRACT This paper investigates whether investment strategies using rankings based on different portfolio performance measures lead to different future abnormal returns. A set of 13 commonly used risk-adjusted performance measures is applied to a dataset of US equity mutual funds over the period July 1970 to September 2019. The results show some evidence of short-term performance persistence, suggesting that portfolios formed on different performance measures ex-ante can generate abnormal returns ex-post. A strategy of investing in the top performing funds and shorting the poor performing funds provides positive excess returns and five-factor alphas. However, when adjusting for the momentum factor, there is less evidence of abnormal performance. The results also show that overall there is little difference arising from the use of different performance measures, but with one notable exception: the Rachev ratio.

中文翻译：

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基金绩效指标的选择重要吗？

摘要本文研究使用基于不同投资组合绩效指标的排名的投资策略是否会导致不同的未来异常收益。1970年7月至2019年9月期间，对美国股票共同基金的数据集应用了一组13种常用的风险调整绩效指标。结果显示了短期绩效持续存在的一些证据，这表明投资组合是基于不同绩效指标形成的事前可能会产生事后异常回报。投资于表现最佳的基金并做空表现欠佳的基金的策略可提供正的超额收益和五因素alpha。但是，在调整动量因子时，很少有异常表现的迹象。