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...

The least restrictive sufficient condition for expected utility to imply Sharpe ratio rankings is the location and scale (LS) property (see [Sinn, 1983] and [Meyer, 1987]). The normal, the extreme value, and many other distributions commonly used in finance satisfy this property. We argue that...

The Sharpe ratio is adequate for evaluating investment funds when the returns of those funds are normally distributed and the investor intends to place all his risky assets into just one investment fund. Hedge fund returns differ significantly from a normal distribution. For this reason, other...