$25.00
The Sortino Ratio and the more recently developed Omega statistic are conceptually related “downside” risk-adjusted return measures, but appear distinct mathematically. We show that each of these measures is a special case of Kappa, a generalized risk-adjusted performance measure.
Authors: Paul D. Kaplan, Ph.D., James A. Knowles
Description
The Sortino Ratio and the more recently developed Omega statistic are conceptually related “downside” risk-adjusted return measures, but appear distinct mathematically. We show that each of these measures is a special case of Kappa, a generalized risk-adjusted performance measure. A single parameter of Kappa determines whether the Sortino Ratio, Omega, or another risk-adjusted return measure is generated.
Related products
-
A Case for Attribution Standards
$25.00 Add to cart -
A Fully Geometric Approach to Performance Attribution
$25.00 Add to cart -
A New Approach to the Decomposition of Yield Curve Movements for Fixed Income Attribution
$25.00 Add to cart -
A Multi-Period Algorithm that has Stood the Test of Time
$25.00 Add to cart