JOURNAL OF EMPIRICAL FINANCE, VOL46 , MARCH 2018
关于Omega（Ab）的使用？
作者：Massimiliano Caporin（University of Padova）
Michele Costola（Goethe University）
Gregory Jannin（JMC Asset Management LLC）
Bertrand Maillet（EMLyon Business School (CEFRA) - Paris Campus）
摘要：鉴于收益率分布并不是高斯分布，并且波动率并不总是相关的风险矩阵，最近的几篇财经文章利用Omega衡量标准（Keating and Shadwick，2002）——从可能损失中获得的潜在收益的占比，取代传统的夏普比率来衡量基金或积极策略的表现。其他作者也用Omega来衡量有重大下行风险的优化（非线性）投资组合的表现。但是，我们在这篇文章中质疑这些方法的相关性。首先，我们通过一个基本的分析说明Omega比率与二阶随机占优准则不一致。此外，我们观察到与Omega准则相对应的回报与风险之间的权衡本质上可能受平均回报的影响。接下来，我们在静态和动态框架中进行说明，基于Omega的最优投资组合可以与经典优化范式密切相关，而这种相关性具体取决于Omega所选择的阈值。最后，我们利用长期资产和对冲基金数据进行稳健性分析，结果是一致的。
关键词：绩效评价指标，Omega，收益分布，风险，随机占优
“On the (Ab)Use of Omega?”
Massimiliano Caporin（University of Padova），Michele Costola（Goethe University），Gregory Jannin（JMC Asset Management LLC），Bertrand Maillet（EMLyon Business School (CEFRA) - Paris Campus）
ABSTRACT
Several recent finance articles use the Omega measure (Keating and Shadwick, 2002), defined as a ratio of potential gains out of possible losses, for gauging the performance of funds or active strategies, in substitution of the traditional Sharpe ratio, with the arguments that return distributions are not Gaussian and volatility is not always the relevant risk metric. Other authors also use Omega for optimizing (non-linear) portfolios with important downside risk. However, we question in this article the relevance of such approaches. First, we show through a basic illustration that the Omega ratio is inconsistent with the Second-order Stochastic Dominance criterion. Furthermore, we observe that the trade-off between return and risk corresponding to the Omega measure, may be essentially influenced by the mean return. Next, we illustrate in static and dynamic frameworks that Omega-based optimal portfolios can be closely associated with classical optimization paradigms depending on the chosen threshold used in Omega. Finally, we present robustness checks on long-only asset and hedge fund databases, that confirm our results.
Keywords: Performance Measure, Omega, Return Distribution, Risk, Stochastic Dominance
原文链接：
https://www.sciencedirect.com/science/article/pii/S0927539817301111#!
翻译：王秭越
