It is zero if you set your benchmark less than or equal to the risk free return (r
) but if you were to set your benchmark return (L) to be above r
then you would have a certain shortfall.
Expected shortfall relies on the randomness of returns but a risk free asset has a guaranteed return. The return is like a piece-wise function which will be some fixed value r with probability = 1 and takes on any other value with probability = 0. It's probably better to think of it as a certain shortfall, rather than an expected shortfall in this case.