IDEAS home Printed from https://ideas.repec.org/a/sae/ausman/v32y2008i3p485-502.html
   My bibliography  Save this article

The Efficacy of the Sortino Ratio and Other Benchmarked Performance Measures Under Skewed Return Distributions

Author

Listed:
  • Ashraf Chaudhry

    (Queensland Investment Corporation, Brisbane, QLD, 4001.)

  • Helen L. Johnson

    (Queensland University of Technology, Brisbane, QLD, 4001.)

Abstract

This paper will investigate the suitability of existing performance measures under the assumption of a clearly defined benchmark. A range of measures are examined including the Sortino Ratio, the Sharpe Selection ratio (SSR), the Student's t-test and a decay rate measure. A simulation study is used to assess the power and bias of these measures based on variations in sample size and mean performance of two simulated funds. The Sortino Ratio is found to be the superior performance measure exhibiting more power and less bias than the SSR when the distribution of excess returns are skewed.

Suggested Citation

  • Ashraf Chaudhry & Helen L. Johnson, 2008. "The Efficacy of the Sortino Ratio and Other Benchmarked Performance Measures Under Skewed Return Distributions," Australian Journal of Management, Australian School of Business, vol. 32(3), pages 485-502, March.
    • Handle: RePEc:sae:ausman:v:32:y:2008:i:3:p:485-502
    DOI: 10.1177/031289620803200306
    as

    Download full text from publisher

    File URL: https://journals.sagepub.com/doi/10.1177/031289620803200306
    Download Restriction: no
    File URL: https://libkey.io/10.1177/031289620803200306?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nicola Metzger & Vijay Shenai, 2019. "Hedge Fund Performance during and after the Crisis: A Comparative Analysis of Strategies 2007–2017," IJFS, MDPI, vol. 7(1), pages 1-31, March.
    2. Petr Kupčík & Pavel Gottwald, 2016. "The Return-risk Performance of Selected Pension Fund in OECD with Focus on the Czech Pension System," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 64(6), pages 1981-1988.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sae:ausman:v:32:y:2008:i:3:p:485-502. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: SAGE Publications (email available below). General contact details of provider: http://www.agsm.edu.au .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.