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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 riskadjusted 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. IntroductionPortfolio performance evaluation is an important and much debated subject in the finance literature. Since the advent of modern portfolio theory and the Capital Asset Pricing Model (CAPM) in the 1960s, many portfolio performance measures have been proposed in the literature.Traditionally, it is considered that use of the ubiquitous Sharpe ratio (Sharpe, 1966) as the performance measure of choice requires that returns have a normal distribution, investors have a quadratic utility function or otherwise accept volatility as the measure of risk. More recent research, however, indicates that the Sharpe ratio is the appropriate performance measure under more general conditions, namely that returns follow an elliptically symmetric distribution.Nonetheless, traditional performance measures do not explicitly take into account the risk premia due to higher moments or co-moments. Research into this issue may be divided into two groups.First, several studies have extended standard portfolio theory to incorporate the effect of skewness

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