Econometric Modeling to Measure the Efficiency of Sharpe’s Ratio with Strong Autocorrelation Portfolios

Table 1

Performance measures.

Ratio	Calculation	Reference
Sharpe		Sharpe [6]
Omega		Keating and Shadwick [18]
Sortino		Sortino and Van Der Meer [16]
Kappa3		Kaplan and Knowles [22]
Upside		Sortino et al. [17]
Calmar		Young [20]
Sterling		Kestner [21]
Dowd		Dowd [19]

: risk-free interest rate; : target parameter; : lower partial moment of order n; : higher partial moment of order n; : drawdown of fund.