Incremental Sharpe and other performance ratios

Benhamou, Éric; Guez, Beatrice

Benhamou, Éric; Guez, Beatrice (2018), Incremental Sharpe and other performance ratios, Journal of Statistical and Econometric Methods, 7, 4, p. 19-37

Type

Article accepté pour publication ou publié

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https://hal.archives-ouvertes.fr/hal-02012443

Date

2018

Nom de la revue

Journal of Statistical and Econometric Methods

Volume

Numéro

Éditeur

Scienpress

Pages

19-37

Métadonnées

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Auteur(s)

Benhamou, Éric
Guez, Beatrice

Résumé (EN)

We present a new methodology of computing incremental contributionfor performance ratios for portfolio like Sharpe, Treynor, Calmar orSterling ratios. Using Euler’s homogeneous function theorem, we areable to decompose these performance ratios as a linear combination ofindividual modified performance ratios. This allows understanding thedrivers of these performance ratios as well as deriving a condition fora new asset to provide incremental performance for the portfolio. Weprovide various numerical examples of this performance ratio decomposition.