When Does the Choice of Performance Measure Not Matter?

We analyze the Sharpe ratio and 14 alternative reward-to-risk ratios. Every alternative ratio leads to the same ranking of investment funds as the Sharpe ratio if the funds' return distributions satisfy the location and scale condition (see Meyer, 1987). It then makes no difference whether funds are ranked with the Sharpe ratio or an alternative ratio

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Year of publication:	2013
Authors:	Schuhmacher, Frank
Other Persons:	Eling, Martin (contributor)
Publisher:	[2013]: [S.l.] : SSRN

Extent:	1 Online-Ressource (13 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 26, 2009 erstellt
Other identifiers:	10.2139/ssrn.1513853 [DOI]
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G23 - Pension Funds; Other Private Financial Institutions ; G29 - Financial Institutions and Services. Other
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013095327