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.

Sortino ratio vs. M-squared

	Sortino ratio	M-squared
description	measure of risk-adjusted return that is like the Sharpe ratio. However, unlike the Sharpe ratio, which uses the standard deviation of returns as a measure of volatility, the Sortino ratio uses the downside deviation of returns. The downside deviation is a measure of the deviation of returns that fall below a certain target or minimum acceptable return.	also known as the Modigliani risk-adjusted performance measure, is a method for evaluating the performance of a portfolio or investment strategy. It was developed by Franco Modigliani and Merton Miller, who were awarded the Nobel Prize in Economics for their work in this area.
numerator	excess return (above the risk-free rate)	excess return (above the risk-free rate)
denominator	downside deviation
formula
SPY range