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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 .
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 ...
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 ...
Based on SmartAsset’s investment growth calculator, if you retire at 67 and live to age 87, on the high end of average for a retiree, ... Pension Payment vs. Portfolio Drawdown.
The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. [1] It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally.
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 ...
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