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. Treynor ratio

Sharpe ratio Treynor ratio
description widely used measure of risk-adjusted return that is used to evaluate the performance of an investment portfolio or financial instrument. It compares the return of an investment to its volatility, which is measured by the standard deviation of returns. 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 standard deviation of return beta
formula https://www.investopedia.com/terms/s/sharperatio.asp#:~:text=The%20Sharpe%20ratio%20is%20calculated,of%20the%20portfolio's%20excess%20return.
SPY range