Comparison of Risk vs. Return Metrics

What are Risk vs. Return Metrics?

Risk vs. Return Metrics are analytical tools used in finance to assess the relationship between the level of risk taken by an investment and the potential return generated from that investment.

Alpha vs. Sortino ratio

	Alpha	Sortino ratio
description	measure of a portfolio’s performance that is relative to a benchmark index. It is used to evaluate the performance of an investment manager, and it represents the return on an investment portfolio over the return that a benchmark index has achieved.	measure of risk-adjusted return that is like the Sharpe ratio. However, unlike the Sharpe ratio, which uses the standard deviation of returns as a measure of volatility, the Sortino ratio uses the downside deviation of returns. The downside deviation is a measure of the deviation of returns that fall below a certain target or minimum acceptable return.
numerator	excess return (above the risk-free rate)	excess return (above the risk-free rate)
denominator		downside deviation
formula
SPY range