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Stutzer index

A way of measuring the variability of returns on a portfolio, which assigns a higher value to lower variability and volatility. By placing higher ratings on portfolios with fewer outliers and less extreme variations in returns, this index is intended to predict better-than-average performance in the market.

Related information about Stutzer index:
  1. Stutzer Index Definition | Investopedia
    A performance measure that rewards portfolios with a lower probability of underperforming a benchmark. Technically, the Stutzer index penalizes negative ...
     
  2. the Stutzer Index revealed - Financial Webring
    motivated by e-mail from Peter D. I never really liked the Sharpe Ratio. >Huh? Everybuddy likes the Sharpe Ratio! Not me. In particular, I don't like the use of the ...
     
  3. A Unified Approach to Risk-Adjusted Performance - Morningstar
    include the Sortino ratio, Omega, and the Stutzer index. 1 ... estimating the information ratio, Omega, the Sortino ratio, the Stutzer index, and Lambda for a set of ...
     
  4. Stutzer Index - Invest Excel
    Stutzer Index Intro and Excel spreadsheet with VBA. Learn about the Stutzer Index, and why it's better than the Sharpe Ratio for benchmarking the returns of ...
     
  5. A Portfolio Performance Index by Michael Stutzer :: SSRN
    Oct 8, 2000 ... This paper models the behavior of a fund manager who selects a portfolio strives to maximize the probability of outperforming an ...
     
  6. What is Stutzer index? definition and meaning
    Definition of Stutzer index: A way of measuring the variability of returns on a portfolio, which assigns a higher value to lower variability and volatility. By placing ...
     
  7. Stutzer Index: Definition from Answers.com
    Stutzer Index A performance measure that rewards portfolios with a lower probability of underperforming a benchmark.
     
  8. Stutzer Index - Portfolio Performance Measurement
    Stutzer index. ... NET: Investment Performance Analysis - Stutzer Index · Investopedia.com: Stutzer Index · Answers.com: Stutzer Index · gummy stuff: Stutzer ...