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. Sortino ratio

	Calmar Ratio	Sortino ratio
description	risk-adjusted performance metric in investing that evaluates an investment's annualized return relative to its maximum drawdown.	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	3-year maximum drawdown	downside deviation
formula
SPY range