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 ... 
Volatility
1. A statistical measure of the dispersion of returns for a given ... 
Skewness
Describe asymmetry from the normal distribution in a set of statistical ... 
Modern Portfolio Theory  MPT
A theory on how riskaverse investors can construct portfolios ... 
Kurtosis
A statistical measure used to describe the distribution of observed ... 
Risk
The chance that an investment's actual return will be different ...
RELATED FAQS

What does the rule of 70 indicate about a country's future economic growth?
The rule of 70 could be used to indicate the approximate number of years that it would take a company's economic growth to ... Read Full Answer >> 
How is the rule of 70 related to the growth rate of a variable?
The rule of 70 is related to the growth rate of a variable because it uses the growth rate in its approximation of the number ... Read Full Answer >> 
How does the risk of investing in the aerospace sector compare to the broader market?
Investing in the aerospace sector is riskier than investing in the broader market. The most accurate measure of sector volatility, ... Read Full Answer >> 
How does a pension income drawdown work?
While there are similar drawdown plans in the United States, a pension income drawdown plan most commonly refers to a specific ... Read Full Answer >> 
What is the most important section in an investment company's prospectus?
It is important for investors to examine all information contained within an investment company’s prospectus. However, the ... Read Full Answer >> 
What are the benefits of using ceteris paribus assumptions in economics?
Most, though not all, economists rely on ceteris paribus conditions to build and test economic models. The reason they do ... Read Full Answer >>
Related Articles

Markets
The Uses And Limits Of Volatility
Check out how the assumptions of theoretical risk models compare to actual market performance. 
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. 
Investing Basics
Determining Risk And The Risk Pyramid
Many investors do not understand how to determine the risk level their individual portfolios should bear. 
Fundamental Analysis
Calculating Future Value
Future value is the value of an asset or cash at a specified date in the future that is equivalent in value to a specified sum today. 
Economics
What is Deadweight Loss?
Mainly used in economics, deadweight loss can be applied to any deficiency caused by an inefficient allocation of resources. 
Economics
How to Do a CostBenefit Analysis
The benefits of a given situation or businessrelated action are summed and then the costs associated with taking that action are subtracted. 
Investing
The Case For Stocks Today
Last week, U.S. equities advanced with the S&P 500 Index notching new records. Investors are now getting nervous with rate and currency volatility spiking. 
Investing
Financial Gifts For Grads: Kindergarten To College
If you really want to help your grad preparing for the future, consider a present that supports their longterm goals—an early start to financial planning. 
Mutual Funds & ETFs
Why You May Want To Be (And Stay) In Bonds
Bonds are complicated, and it’s easy to feel intimidated or confused. Fortunately, you don’t need to be a numbers geek to be an informed investor. 
Fundamental Analysis
Calculating the HerfindahlHirschman Index (HHI)
The HerfindhalHirschman Index, (HHI) is a measure of market concentration and competition among market participants.