Assuming the returns distribution is normal, then there is a relation between Stutzer index and Sharpe ratio.
However, I found in the following paper 2 different equation:
Paper I (page 10-11) where it is mentioned Stutzer index (Ip) is half of square of the Sharpe ratio.
Paper II (page 8) where it is mentioned Stutzer index is equal to the Sharpe Ratio.
Can somebody tell, which one is correct?
Also if I have ony 12 monthly return series is it meaningful to calculate Stutzer index? (most of the implemented algorithms I'v seen so far are on daily returns of at least 100-120 observations)
Stutzer index definition: http://www.investopedia.com/terms/s/stutzerindex.asp
Michael J. Stutzer original paperlink: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=239540