A decision-theoretic foundation for reward-to-risk performance measures

作者：Schuhmacher Frank^*; Eling Martin

来源：Journal of Banking & Finance, 2012, 36(7): 2077-2082.

DOI：10.1016/j.jbankfin.2012.03.013

• Asset management
• Performance measurement
• Sharpe ratio
• Location and scale condition
• Risk and reward measurement

In this paper we prove that partial-moments-based performance measures (e.g., Omega, Kappa, upside-potential ratio, Sortino-Satchell ratio, Farinelli-Tibiletti ratio), value-at-risk-based performance measures (e.g., VaR ratio, CVaR ratio, Rachev ratio, generalized Rachev ratio), and other admissible performance measures are a strictly increasing function in the Sharpe ratio. The theoretical basis of this result is the location and scale property and two other plausible and mild conditions. Our result provides a decision-theoretic foundation for all these frequently used performance measures. Moreover, it might explain the empirical finding that all these measures typically lead to very similar rankings.

• 出版日期2012-7