New Working Paper: How Consistent are the Judges of Portfolio Performance?

I posted a new working paper HERE. It is a short letters type paper---so it is a quick read. In the paper we show four standard portfolio performance measures (Sharpe Ratio, Jensen's alpha, Information Ratio, and Treynor Ratio) all rank portfolios consistently (all measures have a preference for portfolios with a greater number of stocks).  The implication is, it doesn't matter which portfolio measure you use, each will afford a very similar ranking for a given set of portfolios.

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