Research Article
Econometric Modeling to Measure the Efficiency of Sharpe’s Ratio with Strong Autocorrelation Portfolios
Table 5
Rank correlation compared with Sharpe’s ratio (WS: whole sample). The year 2020
includes the first semester of 2021.
| | 11 | 12 | 13 | 14 | 15 | 16 | 17 | 18 | 19 | 20 | WS |
| | Omega | 0.99 | 0.99 | 0.99 | 0.99 | 0.99 | 0.99 | 0.99 | 0.99 | 0.99 | 0.99 | 0.99 | | Sortino | 0.99 | 0.99 | 0.99 | 0.99 | 0.99 | 0.99 | 0.99 | 0.99 | 0.99 | 0.99 | 0.99 | | Kappa3 | 0.99 | 0.99 | 0.98 | 0.98 | 0.99 | 0.99 | 0.98 | 0.99 | 0.99 | 0.99 | 0.99 | | Upside | 0.88 | 0.85 | 0.88 | 0.88 | 0.90 | 0.85 | 0.86 | 0.86 | 0.86 | 0.83 | 0.87 | | Calmar | 0.94 | 0.95 | 0.89 | 0.90 | 0.96 | 0.97 | 0.94 | 0.96 | 0.96 | 0.97 | 0.94 | | Sterling | 0.92 | 0.94 | 0.89 | 0.87 | 0.94 | 0.96 | 0.92 | 0.95 | 0.96 | 0.95 | 0.93 | | Dowd | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 |
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