TY - JOUR T1 - Portfolio Performance Evaluation Using Value at Risk JF - The Journal of Portfolio Management SP - 93 LP - 102 DO - 10.3905/jpm.2003.319898 VL - 29 IS - 4 AU - Gordon J. Alexander AU - Alexandre M. Baptista Y1 - 2003/07/31 UR - https://pm-research.com/content/29/4/93.abstract N2 - 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. ER -