This report uses risk-adjusted performance measures to identify the quality of al- ternative decision models. This report uses the decision models introduced by Schwaiger et al. (2007) and the simulation and decision evaluation outcomes from Schwaiger et al. (2008). Risk-adjusted performance measures are used by fund managers to rank and com- pare their portfolio performance with peers. In this report we examine the perfor- mance of alternative decision models for pension funds and use two ratios, namely the Sortino and the Solvency ratio to measure their performance over time.
