Performance measurement with expectiles

Abstract Financial performance evaluation is intimately linked to risk measurement methodologies. There exists a well-developed literature on axiomatic and operational characterization of measures performance. Hinged the duality between coherent reward associated with investment strategies, we investigate representation acceptability indices using expectile-based that recently attracted lot attention inside financial actuarial community. We propose two purely ratios other than classical gain-loss ratio Omega ratio. complement our analysis elicitability their conditional version accounting for new information flow.