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
Thomas M. Idzorek
is chief investment officer—retirement at Morningstar Investment Management in Chicago, IL
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In this issue
The Journal of Portfolio Management
Vol. 44, Issue 3
Winter 2018
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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- Article
- Abstract
- DESCRIPTION OF DATA AND REGRESSION METHODOLOGY
- AN EXAMPLE ON DIFFERENT RANKINGS
- WHY USE CVAR AND MDD?
- POSITIVE CORRELATION BETWEEN VOLATILITY AND SKEWNESS
- QUANTIFYING PERFORMANCE-RANKING VARIATION
- IMPACT OF VOLATILITY ON RANKING VARIATION
- FORECASTING PERFORMANCE RANKING VARIATION
- CONCLUSIONS
- ENDNOTES
- REFERENCES
- Info & Metrics
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