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Home» Product » Sharpe Ratio for Skew-normal Distributions: A Skewness-dependent Performance Trade-off

Sharpe Ratio for Skew-normal Distributions: A Skewness-dependent Performance Trade-off

Posted by admin - May 18, 2014 -
0

$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

SKU: Summer201014-4-5 Category: Articles Tags: Sharpe Ratio, Skew-normal Distributions
  • Description

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.

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