RT Journal Article
SR Electronic
T1 Efficiency Ratio
JF The Journal of Investing
FD Institutional Investor Journals
SP 19
OP 25
DO 10.3905/joi.2000.319419
VO 9
IS 2
A1 Laurent Cantaluppi
A1 Ruedi Hug
YR 2000
UL https://pm-research.com/content/9/2/19.abstract
AB 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.