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. Treynor ratio

	Sortino ratio	Treynor 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.	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	downside deviation	beta
formula
SPY range