Beyond the Sharpe ratio: An application of the Aumann-Serrano index to performance measurement

► We use the Aumann-Serrano index to introduce an new performance measure. ► The new performance measure respects stochastic dominance. ► If returns are close to normal the ranking is close to Sharpe ratio ranking. ► We provide parametric and non-parametric estimation techniques. ► We illustrate our measure using mutual and hedge funds data.