A Case for Tail-Risk-Based Sharpe Ratios

James X. Xiong; Thomas M. Idzorek

doi:10.3905/jpm.2018.44.3.114

Article

A Case for Tail-Risk-Based Sharpe Ratios

James X. Xiong and Thomas M. Idzorek

The Journal of Portfolio Management Winter 2018, 44 (3) 114-125; DOI: https://doi.org/10.3905/jpm.2018.44.3.114

James X. Xiong

is head of scientific investment management research at Morningstar Investment Management in Chicago, IL

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Thomas M. Idzorek

is chief investment officer—retirement at Morningstar Investment Management in Chicago, IL

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A Case for Tail-Risk-Based Sharpe Ratios

James X. Xiong, Thomas M. Idzorek

The Journal of Portfolio Management Jan 2018, 44 (3) 114-125; DOI: 10.3905/jpm.2018.44.3.114

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A Case for Tail-Risk-Based Sharpe Ratios

James X. Xiong, Thomas M. Idzorek

The Journal of Portfolio Management Jan 2018, 44 (3) 114-125; DOI: 10.3905/jpm.2018.44.3.114

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