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@article{ART002525224},
author={Kim Bong Jun and JUN DOOBAE},
title={Portfolio Performance Evaluation by Generalized Sharpe ratio},
journal={Asset Management Review},
issn={2288-6672},
year={2019},
volume={7},
number={1},
pages={1-23},
doi={10.23007/amr.2019.7.1.1}

TY - JOUR
AU - Kim Bong Jun
AU - JUN DOOBAE
TI - Portfolio Performance Evaluation by Generalized Sharpe ratio
JO - Asset Management Review
PY - 2019
VL - 7
IS - 1
PB - Institute of Management Research, SungKyunKwan University
SP - 1
EP - 23
SN - 2288-6672
AB - Most of portfolio performance measures used in the market do not consider higher order moment risk like skewness and kurtosis. This study presented general Sharpe ratio (GSR) considering higher order moment risk and estimated ex-post performance of zero cost investment strategies based on performance measures including GSR. It is summarized as follows. In the first place, cross-sectional correlations among Sharpe ratio, Treynor ratio, Jensen’s alpha, information ratio were found between 0.54 and 0.98. But correlation between GSR and these performance measures was located between 0.19 and 0.67. This difference is due to the fact that GSR considers higher order moments as additional risk factors. In the second place, investment strategy based on individual performance measure found statistically insignificant or negative performance. This supports the efficiency of KOSPI market and implies that it is hard to make a risk-adjusted excess return using performance measures.
KW - generalized Sharpe ratio;higher order moment;skewness;kurtosis;normal-inverse Gaussian distribution
DO - 10.23007/amr.2019.7.1.1
ER -

Kim Bong Jun and JUN DOOBAE. (2019). Portfolio Performance Evaluation by Generalized Sharpe ratio. Asset Management Review, 7(1), 1-23.

Kim Bong Jun and JUN DOOBAE. 2019, "Portfolio Performance Evaluation by Generalized Sharpe ratio", Asset Management Review, vol.7, no.1 pp.1-23. Available from: doi:10.23007/amr.2019.7.1.1

Kim Bong Jun, JUN DOOBAE "Portfolio Performance Evaluation by Generalized Sharpe ratio" Asset Management Review 7.1 pp.1-23 (2019) : 1.

Kim Bong Jun, JUN DOOBAE. Portfolio Performance Evaluation by Generalized Sharpe ratio. 2019; 7(1), 1-23. Available from: doi:10.23007/amr.2019.7.1.1

Kim Bong Jun and JUN DOOBAE. "Portfolio Performance Evaluation by Generalized Sharpe ratio" Asset Management Review 7, no.1 (2019) : 1-23.doi: 10.23007/amr.2019.7.1.1

Kim Bong Jun; JUN DOOBAE. Portfolio Performance Evaluation by Generalized Sharpe ratio. Asset Management Review, 7(1), 1-23. doi: 10.23007/amr.2019.7.1.1

Kim Bong Jun; JUN DOOBAE. Portfolio Performance Evaluation by Generalized Sharpe ratio. Asset Management Review. 2019; 7(1) 1-23. doi: 10.23007/amr.2019.7.1.1

Kim Bong Jun, JUN DOOBAE. Portfolio Performance Evaluation by Generalized Sharpe ratio. 2019; 7(1), 1-23. Available from: doi:10.23007/amr.2019.7.1.1

Kim Bong Jun and JUN DOOBAE. "Portfolio Performance Evaluation by Generalized Sharpe ratio" Asset Management Review 7, no.1 (2019) : 1-23.doi: 10.23007/amr.2019.7.1.1