There is no overall consensus about which measure is the most suitable for evaluating portfolios’ performance. Despite being affected by some of the statistical characteristics of returns, Sharpe ratio is the most widely used measure for portfolio performance evaluation. Thus, the other measures such as Treynor ratio or Modigliani and Modigliani (M2) are considered as alternatives to the Sharpe ratio. Using daily and monthly returns, our study confirms that these measures provide comparable results across countries, even examining the relative performance of mutual funds to a benchmark using the M2 approach. We obtain the same performance ranking regardless of the measure employed.