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.

Calmar Ratio vs. Alpha

	Calmar Ratio	Alpha
description	risk-adjusted performance metric in investing that evaluates an investment's annualized return relative to its maximum drawdown.	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.
numerator	excess return (above the risk-free rate)	excess return (above the risk-free rate)
denominator	3-year maximum drawdown
formula
SPY range