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| Stutzer Index |
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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. |
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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. |
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