DEFINITION of 'Stutzer Index'
A performance measure that rewards portfolios with a lower probability of underperforming a benchmark. Technically, the Stutzer index penalizes negative skewness and high kurtosis  such a distribution will have a lower Stutzer index than a normal distribution with the same mean and variance.
INVESTOPEDIA EXPLAINS 'Stutzer Index'
This measure differs from the Sharpe ratio in that it does not assume that returns are normally distributed (bellshaped). Instead, it takes into account the shape of the distribution of returns. Where the distribution is normal, the Stutzer index and Sharpe ratio are identical.
RELATED TERMS

Sharpe Ratio
A ratio developed by Nobel laureate William F. Sharpe to measure ... 
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Modern Portfolio Theory  MPT
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Kurtosis
A statistical measure used to describe the distribution of observed ... 
Risk
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