A state-of-the-art fund performance index: Higher-order omega and its consistency with almost stochastic dominance

Artikel

This paper provides a mathematical proof and theoretical analysis of the one-to-one consistency between higher-order Omega and Almost Stochastic Dominance rules when evaluating fund performance. The consistency between higher-order Omega and Almost Nth-degree Stochastic Dominance reinforces the effectiveness of applying the higher-order Omega function in fund performance measurement, as the Almost Stochastic Dominance rules are more likely to be observed in real life. This study also clarifies that the higher-order Omega decreases when threshold L increases. The ranking of funds based on higher-order Omega changes at different thresholds. Hence, it is critical to specify the L so that the consistency holds. Through evaluating the performance of eleven U.S. funds between 2010 and 2020, we demonstrate the applications of the Nth-order Omega in the concept of Almost Stochastic Dominance rules. Furthermore, the empirical results also show the superiority of the Nth-order Omega over the traditional fund performance measure, i.e., Sharpe ratio and the lower-order Omega. The ranking of fund performance based on higher-order Omega is consistent with Almost Stochastic Dominance rules.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 10 ; Pages: 1-20

Klassifikation und Themen

• Klassifikation: Management
• Thema: higher-order Omega ; Almost Stochastic Dominance rules ; fund performance evaluation

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Lu, Hengzhen ; Zhang, Yingying ; Xiao, Ling ; Dhesi, Gurjeet
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2022

Weitere Informationen

• DOI: doi:10.3390/jrfm15100438
• Handle: http://hdl.handle.net/10419/274958
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ