In reply to Dirk Lehnick.

Yes, I thought about discussing ties, but the article was already long. I think there are two ways to investigate your idea. The first is to use truly ordinal data with a small number of distinct categories. You could use the multinomial distribution to know the true correlation. The second idea (which I find more interesting) would be to look at the statistics for rounded data. Suppose the underlying process is bivariate normal, but we can only measure the values to within 0.1 or 0.5. How does the rounding affect the statistics? If the rounding interval is relatively large (resulting in more ties) does Kendall outperform? If I find some time, I will investigate and blog the results.