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Primary Article

Efficiency Ratio

A New Methodology for Performance Measurement

Laurent Cantaluppi and Ruedi Hug
The Journal of Investing Summer 2000, 9 (2) 19-25; DOI: https://doi.org/10.3905/joi.2000.319419
Laurent Cantaluppi
A partner at Cantaluppi & Hug, a company that specializes in financial software. He holds a M.S. in Mathematics from the Swiss Federal Institute of Technology, Lausanne, and a Ph.D. in Operations Research from Stanford University.
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Ruedi Hug
A partner at Cantaluppi & Hug. He holds a M.S. in Mathematics and a Ph.D. in Computer Science from the Swiss Federal Institute of Technology, Zurich.
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Abstract

The efficiency ratio as a performance measure is based on the ex post efficient frontier underlying the investment environment. Consideration of return potential offers some absolute judgment provided by other performance measures. The absolute performance of the benchmark can also be assessed. The efficiency ratio is related to the Sharpe ratio, but improves on it, consistent with modern portfolio theory. Application to mutual funds in the U. S. stock market demonstrates its superior performance measurement.

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The Journal of Investing
Vol. 9, Issue 2
Summer 2000
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Efficiency Ratio
Laurent Cantaluppi, Ruedi Hug
The Journal of Investing May 2000, 9 (2) 19-25; DOI: 10.3905/joi.2000.319419

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Efficiency Ratio
Laurent Cantaluppi, Ruedi Hug
The Journal of Investing May 2000, 9 (2) 19-25; DOI: 10.3905/joi.2000.319419
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