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2. Drawdown (economics) - Wikipedia

   en.wikipedia.org/wiki/Drawdown_(economics)

   The Maximum Drawdown, more commonly referred to as Max DD, is the worst (the maximum) peak to valley loss since the investment’s inception. [ citation needed ] In finance, the use of the maximum drawdown is an indicator of risk through the use of three performance measures: the Calmar ratio , the Sterling ratio and the Burke ratio .

3. Omega ratio - Wikipedia

   en.wikipedia.org/wiki/Omega_ratio

   Omega ratio. The Omega ratio is a risk-return performance measure of an investment asset, portfolio, or strategy. It was devised by Con Keating and William F. Shadwick in 2002 and is defined as the probability weighted ratio of gains versus losses for some threshold return target. [1] The ratio is an alternative for the widely used Sharpe ratio ...

4. Merton's portfolio problem - Wikipedia

   en.wikipedia.org/wiki/Merton's_portfolio_problem

   Merton's portfolio problem. Merton's portfolio problem is a problem in continuous-time finance and in particular intertemporal portfolio choice. An investor must choose how much to consume and must allocate their wealth between stocks and a risk-free asset so as to maximize expected utility.

5. Risk–return ratio - Wikipedia

   en.wikipedia.org/wiki/Risk–return_ratio

   Risk–return ratio. The risk-return ratio is a measure of return in terms of risk for a specific time period. The percentage return (R) for the time period is measured in a straightforward way: where and simply refer to the price by the start and end of the time period. The risk is measured as the percentage maximum drawdown (MDD) for the ...

6. Sterling ratio - Wikipedia

   en.wikipedia.org/wiki/Sterling_ratio

   Sterling ratio. The Sterling ratio ( SR) is a measure of the risk-adjusted return of an investment portfolio . While multiple definitions of the Sterling ratio exist, it measures return over average drawdown, versus the more commonly used max drawdown. [citation needed] While the max drawdown looks back over the entire period and takes the ...

7. Value at risk - Wikipedia

   en.wikipedia.org/wiki/Value_at_risk

   Value at risk ( VaR) is a measure of the risk of loss of investment/Capital. It estimates how much a set of investments might lose (with a given probability), given normal market conditions, in a set time period such as a day. VaR is typically used by firms and regulators in the financial industry to gauge the amount of assets needed to cover ...