A Case for Tail-Risk-Based Sharpe Ratios
研究发现低波动股票常伴随负偏态，标准夏普比率排名与考虑尾部风险的夏普比率排名存在显著差异，偏态和序列相关是排名变化的关键因素。
Surprisingly to many investors, low volatility tends to be accompanied with an undesirable risk characteristic: lower or negative skewness. A stock or fund can rank well based on the standard Sharpe ratio but low on enhanced tail-risk-based Sharpe ratios that account for non-normal returns, and vice versa. The authors quantify these economically meaningful ranking differences and show that skewness dominates other variables in explaining the ranking variations for the Conditional Value-at-Risk (CVaR)-based Sharpe ratio. Both skewness and serial correlation play important roles in the ranking variations for the maximum drawdown-based Sharpe ratio. <b>TOPICS:</b>Analysis of individual factors/risk premia, VAR and use of alternative risk measures of trading risk