Sharpe ratio calculator
Sharpe and Sortino from your monthly returns.
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Omega ratio calculator
Do the gains above your target outweigh the shortfalls below it? The Omega ratio and the gain to pain ratio from your own returns.
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The returns
Omega
Omega of 1.88 at a target of 0% a year: the gains above the target outweigh the shortfalls below it.
- Where it breaks even
- Omega is exactly 1 at 6.9% a year (+0.56% a month, the average): any target above that and the shortfalls win.
- Gain to pain
- 0.88: the net result of all 12 months over the losing months added up (always Omega at 0% minus 1). Above 1 is solid on monthly figures, above 2 rare.
- Below the target
- 4 of 12 months fell short of +0.00% (the target per month).
- Read it with care
- Omega uses every return, tails included, where the Sharpe ratio only sees the average and the spread. It still only knows the record you pasted. 12 months is a short record: one more bad month can move Omega a lot.
Omega at several targets a year, the same target per month, and how many months fell short of it. Your target is marked.
| Target a year | Per month | Omega | Short of it |
|---|---|---|---|
| 0% | +0.00% | 1.88 | 4 |
| 5% | +0.41% | 1.20 | 5 |
| 10% | +0.80% | 0.74 | 5 |
| 15% | +1.17% | 0.45 | 6 |
| 20% | +1.53% | 0.26 | 7 |
Education only, not investment advice. The answer comes from the numbers you typed in, not from your account or the market. Simulated results are hypothetical and have limits: real trading has slippage, gaps, changing results and emotions. Trading leveraged products can lose money quickly, including all of it. Risk warning
Educational only, not financial advice; trading involves risk.
Every return counts
The Sharpe ratio boils a record down to its average and its spread, so a strategy with rare deep losses can look as good as one with small ones. The Omega ratio, from Con Keating and William Shadwick (2002), uses the whole record: it adds up every gain above your target and divides by every shortfall below it. Above 1 the gains win; below 1 the shortfalls do. Raise the target and Omega falls, reaching exactly 1 at the average return.
Compare it with the Sharpe ratio calculator, check whether the Sharpe ratio is more than luck with the probabilistic Sharpe ratio, and see the shape of the returns with the return distribution.
Not advice. Arithmetic on the returns you type; past returns do not promise future ones.
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Baroq never holds your money and never trades for you. Educational only, not financial advice; trading involves risk.