Conditional Sharpe Ratios

Victor Chow, Christine W. Lai

研究成果: 雜誌貢獻文章同行評審

10 引文 斯高帕斯(Scopus)

摘要

Facing investment choices, investors may care more about potentially excess losses in a downtrend market than excess gains in an upside market. Conditional Sharpe ratios (. CSR) are statistical ordinates of conditional stochastic dominance (. CSD) that measure lower partial risk-adjusted excess returns of an asset with respect to return distribution on the benchmark. A multiple comparison of serial CSR statistics thus provides an overall view of portfolio performance corresponding to different market scenarios. An example demonstrates that CSR is able to discriminate funds' downside performance which the conventional Sharpe ratio generally fails to do. A large out-of-sample analysis of US mutual fund shows that CSR has predictability for portfolio future performance.

原文英語
頁(從 - 到)117-133
頁數17
期刊Finance Research Letters
12
DOIs
出版狀態已發佈 - 2015 二月 1

ASJC Scopus subject areas

  • Finance

指紋 深入研究「Conditional Sharpe Ratios」主題。共同形成了獨特的指紋。

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