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.


Sortino ratio vs. Sharpe ratio

Sortino ratio Sharpe ratio
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. 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.
numerator excess return (above the risk-free rate) excess return (above the risk-free rate)
denominator downside deviation standard deviation of return
formula https://www.investopedia.com/terms/s/sharperatio.asp#:~:text=The%20Sharpe%20ratio%20is%20calculated,of%20the%20portfolio's%20excess%20return.
SPY range