This chapter provides an overview of the classical measures of risk- adjusted portfolio performance. We first describe the general logic that lies behind all of the measures, and then define the individual mea- sures. We then discuss the theoretical properties of the measures in more detail. Finally, we look at empirical estimation of the measures on actual managed portfolios, and review the empirical evidence based on the classical measures. The main idea in most of the classical measures of investment perfor- mance is quite simple. The measures essentially compare the return of a managed portfolio over some evaluation period to the return of a benchmark portfolio. The benchmark portfolio.
