PT  - JOURNAL ARTICLE
AU  - Gordon J. Alexander
AU  - Alexandre M. Baptista
TI  - Portfolio Performance Evaluation Using Value at Risk
AID  - 10.3905/jpm.2003.319898
DP  - 2003 Jul 31
TA  - The Journal of Portfolio Management
PG  - 93--102
VI  - 29
IP  - 4
4099  - https://pm-research.com/content/29/4/93.short
4100  - https://pm-research.com/content/29/4/93.full
AB  - Developed here is a value at risk-based measure of portfolio performance called the reward-to-VaR ratio. It is demonstrated that, under normality, the reward-to-VaR ratio gives the same ranking for portfolio performance as the frequently used Sharpe ratio. Under non-normality, the reward-to-VaR ratio at one confidence level may give a ranking for portfolio performance different from the ranking obtained at a different confidence level. This indicates that the risk-taking incentives of a portfolio manager in a VaR-based risk management system can be substantially different from the incentives in a Sharpe ratio-based system.