An adaptive approach for the ranking of investment funds by the fund of funds manager is presented. This is a quantitative tool to help the manager make a decision regarding ranking of funds and allocating capital between them for the next few months (for example, for the next quarter) where the...

While the Sharpe ratio is still the dominant measure for ranking risky assets, a substantial effort has been made over the past three decades to find a way to account for non-Normally distributed risks. This paper derives a generalized ranking measure which, under a regularity condition,...