Stutzer Index
A performance measure that rewards portfolios with a lower probability of underperforming a benchmark. Technically, the Stutzer index penalizes negative skewness and high kurtosis - such a distribution will have a lower Stutzer index than a normal distribution with the same mean and variance.
Investopedia Commentary
This measure differs from the Sharpe ratio in that it does not assume that returns are normally distributed (bell-shaped). Instead, it takes into account the shape of the distribution of returns. Where the distribution is normal, the Stutzer index and Sharpe ratio are identical.
Related Links
The Uses And Limits Of Volatility
Achieving Optimal Asset Allocation
Determining Risk And The Risk Pyramid
See also: Kurtosis, Modern Portfolio Theory - MPT, Risk, Sharpe Ratio, Skewness, Standard Deviation, Volatility