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.
Sharpe ratio vs. Information ratio
Sharpe ratio | Information ratio | |
---|---|---|
description | the average excess retum per unit of volatility in excess retum. | |
numerator | excess return (above the risk-free rate) | average excess return (above the risk-free rate) |
denominator | standard deviation of return | standard deviation of excess return |
formula | https://www.investopedia.com/terms/s/sharperatio.asp#:~:text=The%20Sharpe%20ratio%20is%20calculated,of%20the%20portfolio's%20excess%20return. | |
SPY range |