$25.00
Main academic criticism of the Sharpe ratio concerns its lack of incorporating skewness in performance evaluation. In this paper we rewrite the classical Sharpe ratio for skew-normal distributions. This new skew-normal Sharpe ratio consistently moves with skewness, and no distorted information on performance is provided. An empirical investigation illustrates skew-normality of mutual and hedge fund returns.
Authors: Martin Eling, Ph.D., University of Ulm & Luisa Tibiletti, Ph.D., University of Torino
Description
Main academic criticism of the Sharpe ratio concerns its lack of incorporating skewness in performance evaluation. In this paper we rewrite the classical Sharpe ratio for skew-normal distributions. This new skew-normal Sharpe ratio consistently moves with skewness, and no distorted information on performance is provided. An empirical investigation illustrates skew-normality of mutual and hedge fund returns.
Related products
-
“A Call to Arms!” The Next Frontier for Taxable Accounts-After- tax Return Performance Attr
$25.00 Add to cart -
A Model for a Global Investment Attribution Analysis
$25.00 Add to cart -
A Geometric Attribution Model and a Symmetry Principle
$25.00 Add to cart -
A Case for Attribution Standards
$25.00 Add to cart