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. M-squared

	Calmar Ratio	M-squared
description	risk-adjusted performance metric in investing that evaluates an investment's annualized return relative to its maximum drawdown.	also known as the Modigliani risk-adjusted performance measure, is a method for evaluating the performance of a portfolio or investment strategy. It was developed by Franco Modigliani and Merton Miller, who were awarded the Nobel Prize in Economics for their work in this area.
numerator	excess return (above the risk-free rate)	excess return (above the risk-free rate)
denominator	3-year maximum drawdown
formula
SPY range