Stutzer Index

AAA

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 (bell-shaped). 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
  1. Sharpe Ratio

    A ratio developed by Nobel laureate William F. Sharpe to measure ...
  2. Volatility

    1. A statistical measure of the dispersion of returns for a given ...
  3. Skewness

    Describe asymmetry from the normal distribution in a set of statistical ...
  4. Modern Portfolio Theory - MPT

    A theory on how risk-averse investors can construct portfolios ...
  5. Kurtosis

    A statistical measure used to describe the distribution of observed ...
  6. Risk

    The chance that an investment's actual return will be different ...
RELATED FAQS
  1. No results found.
Related Articles
  1. Markets

    The Uses And Limits Of Volatility

    Check out how the assumptions of theoretical risk models compare to actual market performance.
  2. Investing Basics

    Achieving Optimal Asset Allocation

    Minimizing risk while maximizing return is any investor's prime goal. The right mix of securities is the key to achieving your optimal asset allocation.
  3. Investing Basics

    Determining Risk And The Risk Pyramid

    Many investors do not understand how to determine the risk level their individual portfolios should bear.
  4. Investing Basics

    Are You Investing With A Purpose?

    We all appreciate having a wide variety of investing choices, but a random collection of investments does not make an investing plan.
  5. Fundamental Analysis

    Is Apple's Stock Over Valued Or Undervalued?

    Despite several drawbacks, the CAPM gives an overview of the level of return that investors should expect for bearing only systematic risk. Applying Apple, we get annual expected return of about ...
  6. Bonds & Fixed Income

    Figuring Out How To Cover Your Liability Bases

    Whenever we talk about the asset-liability approach to portfolio management (ALM), the concepts of immunization and cash flow matching come into play.
  7. Options & Futures

    How to Use Commodity Futures to Hedge

    Both producers and consumers of commodities can use futures to hedge. We explain, using a few examples, how to achieve commodity hedging with futures.
  8. Mutual Funds & ETFs

    4 Tax-Free Muni Bond ETFs to Consider

    Tax free municipal bond ETFs are an excellent way to build wealth slowly. Here are 4 you should consider.
  9. Savings

    How LearnVest Brings Financial Education To All

    LearnVest is one of the most exciting players in the financial technology space. The company's goal: make financial planning accessible.
  10. Chart Advisor

    This Low-Volatility ETF Deserves Your Attention

    When uncertainty enters the market, investors seek out safety. Instead of blue chips, stable currencies, precious metals or bonds, consider this ETF.

You May Also Like

Hot Definitions
  1. Prepaid Expense

    A type of asset that arises on a balance sheet as a result of business making payments for goods and services to be received ...
  2. Gordon Growth Model

    A model for determining the intrinsic value of a stock, based on a future series of dividends that grow at a constant rate. ...
  3. Cost Accounting

    A type of accounting process that aims to capture a company's costs of production by assessing the input costs of each step ...
  4. Law Of Supply

    A microeconomic law stating that, all other factors being equal, as the price of a good or service increases, the quantity ...
  5. Investment Grade

    A rating that indicates that a municipal or corporate bond has a relatively low risk of default. Bond rating firms, such ...
  6. Fringe Benefits

    A collection of various benefits provided by an employer, which are exempt from taxation as long as certain conditions are ...
Trading Center