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. Sharpe ratio

	Calmar Ratio	Sharpe ratio
description	risk-adjusted performance metric in investing that evaluates an investment's annualized return relative to its maximum drawdown.	widely used measure of risk-adjusted return that is used to evaluate the performance of an investment portfolio or financial instrument. It compares the return of an investment to its volatility, which is measured by the standard deviation of returns.
numerator	excess return (above the risk-free rate)	excess return (above the risk-free rate)
denominator	3-year maximum drawdown	standard deviation of return
formula		https://www.investopedia.com/terms/s/sharperatio.asp#:~:text=The%20Sharpe%20ratio%20is%20calculated,of%20the%20portfolio's%20excess%20return.
SPY range