In this article, the third of a series of articles on hedge fund performance measurement, we discuss absolute performance measures not based on the Sharpe ratio.
Several new performance measures are not based on the Sharpe ratio. They are innovative in that they attempt to take skewness and kurtosis into account.
The Stutzer index was introduced by Stutzer (2000)1. It is based on the behavioural hypothesis that investors aim to minimise the probability that the excess returns over