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. Treynor ratio

	Calmar Ratio	Treynor ratio
description	risk-adjusted performance metric in investing that evaluates an investment's annualized return relative to its maximum drawdown.	performance measurement used in investing to evaluate how well an investment compensates investors for the risk they take, relative to the market. It measures the return of a portfolio or asset beyond the risk-free rate, per unit of systematic risk (beta).
numerator	excess return (above the risk-free rate)	excess return (above the risk-free rate)
denominator	3-year maximum drawdown	beta
formula
SPY range