Risk-Adjusted Performance of American and European Clean-Energy Portfolios

Dejan Živkov, Boris Kuzman and Katica Radosavljević

Prague Economic Papers, 2025, vol. 2025, issue 2, 137-164

Abstract: This study constructs two eight-asset green-energy portfolios, featuring stocks from the U.S. and Europe, to assess which portfolio delivers superior risk-adjusted performance. The analysis utilizes advanced performance metrics, the Stutzer and Omega ratios, with the traditional Sharpe ratio serving as a benchmark. Portfolios are evaluated across both pre-crisis and crisis periods. The results reveal differences in the structures of the Sharpe and Stutzer portfolios, underscoring the Stutzer ratio's ability to improve portfolio performance. Additionally, the Omega portfolio enhances the analysis by allowing the selection of varying thresholds, offering greater adaptability to align with diverse investor preferences. When comparing the U.S. and European portfolios, the U.S. portfolio consistently demonstrates better risk-adjusted performance. This advantage stems from factors such as favorable market dynamics, supportive government policies, greater access to capital, advanced technological innovation, and effective corporate strategies.

Keywords: green-energy portfolios; sophisticated performance metrics (search for similar items in EconPapers)
JEL-codes: G11 G32 P28 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.18267/j.pep.889

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