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.

Information ratio vs. Calmar Ratio

	Information ratio	Calmar Ratio
description	performance metric in investing that evaluates the excess return of a portfolio or investment relative to its benchmark, adjusted for the amount of risk taken to achieve that return.	risk-adjusted performance metric in investing that evaluates an investment's annualized return relative to its maximum drawdown.
numerator	average excess return (above the risk-free rate)	excess return (above the risk-free rate)
denominator	standard deviation of excess return	3-year maximum drawdown
formula
SPY range