Computing the Substantial-Gain-Loss-Ratio

Jan Voelzke and Sebastian Mentemeier

No 5917, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster

Abstract: The Substantial-Gain-Loss-Ratio (SGLR) was developed to overcome some drawbacks of the Gain-Loss-Ratio (GLR) as proposed by Bernardo and Ledoit (2000). This is achieved by slightly changing the condition for a Good-Deal, i. e. on the most extreme but at the same time very small part of the state space. As an empirical performance measure the SGLR can naturally handle outliers and is not easily manipulated. Additionally, the robustness of performance is illuminated via so-called ß-diagrams. In the present paper we propose an algorithm for the computation of the SGLR in empirical applications and discuss its potential usage for theoretical models as well. Finally, we present two exemplary applications of an SGLRanalysis on historic returns.

Keywords: Substantial-Gain-Loss-Ration; Gain-Loss-Ratio; Performance Measure (search for similar items in EconPapers)
Pages: 12 pages
Date: 2017-02
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Citations: View citations in EconPapers (1)

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