Comparison 88
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. Ulcer Performance Index
Calmar Ratio | Ulcer Performance Index | |
---|---|---|
description | risk-adjusted performance metric in investing that evaluates an investment's annualized return relative to its maximum drawdown. | risk-adjusted performance metric in investing that measures the return of an investment relative to the risk of drawdowns (price declines from a previous high). It emphasizes consistency and the avoidance of significant losses. |
numerator | excess return (above the risk-free rate) | excess return (above the risk-free rate) |
denominator | 3-year maximum drawdown | Ulcer index |
formula | ||
SPY range |