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.
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BREAKING DOWN '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

Mesokurtic
A term used in a statistical context where the kurtosis of a ... 
Normal Distribution
A probability distribution that plots all of its values in a ... 
Kurtosis
A statistical measure used to describe the distribution of observed ... 
Probability Distribution
A statistical function that describes all the possible values ... 
Excess Kurtosis
A statistical term describing that a probability, or return distribution, ... 
Leptokurtic
A statistical distribution where the points along the Xaxis ...
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