A note on Guo and Xiao's (2016) results on monotonic functions of the Sharpe ratio

Benjamin R. Auer

Finance Research Letters, 2018, vol. 24, issue C, 289-290

Abstract: In this note, we point out that the recent finding of Guo and Xiao (2016) that several performance measures are monotonic functions of the Sharpe ratio under the family of location-scale distributions is not fully original but has already been covered by the earlier theoretical studies of Schuhmacher and Eling (2011, 2012) and Schuhmacher and Auer (2014).

Keywords: Sharpe ratio; Ranking; Location-scale distributions (search for similar items in EconPapers)
JEL-codes: G10 G11 G23 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:24:y:2018:i:c:p:289-290

DOI: 10.1016/j.frl.2017.09.023

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