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Home» Product » Kappa: A Generalized Downside Risk-Adjusted Performance Measure

Kappa: A Generalized Downside Risk-Adjusted Performance Measure

Posted by admin - May 17, 2014 -
0

$25.00

The Sortino Ratio and the more recently developed Omega statistic are conceptually related “downside” risk-adjusted return measures, but appear distinct mathematically.  We show that each of these measures is a special case of Kappa, a generalized risk-adjusted performance measure.

Authors: Paul D. Kaplan, Ph.D., James A. Knowles

SKU: Spring20048-3-4 Category: Articles Tags: article, Risk-Adjusted Performance Measure
  • Description

Description

The Sortino Ratio and the more recently developed Omega statistic are conceptually related “downside” risk-adjusted return measures, but appear distinct mathematically.  We show that each of these measures is a special case of Kappa, a generalized risk-adjusted performance measure.  A single parameter of Kappa determines whether the Sortino Ratio, Omega, or another risk-adjusted return measure is generated.

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