A Case for Tail-Risk-Based Sharpe Ratios
| Autor: | Thomas M. Idzorek, James X. Xiong |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
010407 polymers
Economics and Econometrics 050208 finance CVAR Sharpe ratio 05 social sciences Autocorrelation 01 natural sciences General Business Management and Accounting 0104 chemical sciences Skewness Accounting 0502 economics and business Econometrics Tail risk Volatility (finance) Finance Stock (geology) Mathematics |
| Zdroj: | The Journal of Portfolio Management. 44:114-125 |
| ISSN: | 2168-8656 0095-4918 |
| DOI: | 10.3905/jpm.2018.44.3.114 |
| Popis: | Surprisingly to many investors, low volatility tends to be accompanied with an undesirable risk characteristic: lower or negative skewness. A stock or fund can rank well based on the standard Sharpe ratio but low on enhanced tail-risk-based Sharpe ratios that account for non-normal returns, and vice versa. The authors quantify these economically meaningful ranking differences and show that skewness dominates other variables in explaining the ranking variations for the Conditional Value-at-Risk (CVaR)-based Sharpe ratio. Both skewness and serial correlation play important roles in the ranking variations for the maximum drawdown-based Sharpe ratio. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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