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. Ulcer Performance Index
Sharpe ratio | Ulcer Performance Index | |
---|---|---|
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. | 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 | standard deviation of return | Ulcer index |
formula | https://www.investopedia.com/terms/s/sharperatio.asp#:~:text=The%20Sharpe%20ratio%20is%20calculated,of%20the%20portfolio's%20excess%20return. | |
SPY range |