Does the investment performance measure matter? A perspective from regulatory focus theory

An experimental study with a sample (N = 213, 49.8% male, 18 -year -old or above) indicates that investment performance measures based on drawdown duration can capture investors' preference when other investment measures focusing on risk -adjusted returns such as the Sharpe ratio fail to. Based on the result, the preventionfocused investors are found to be more sensitive to, and easily affected by the number of drawdown days than the promotion -focused investors. Performance measures based on drawdown duration can supplement traditional performance measures to capture investors' preference.