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. Information ratio

	Calmar Ratio	Information ratio
description	risk-adjusted performance metric in investing that evaluates an investment's annualized return relative to its maximum drawdown.	performance metric in investing that evaluates the excess return of a portfolio or investment relative to its benchmark, adjusted for the amount of risk taken to achieve that return.
numerator	excess return (above the risk-free rate)	average excess return (above the risk-free rate)
denominator	3-year maximum drawdown	standard deviation of excess return
formula
SPY range