Omega Ratio

Return & Performance Metrics

A risk-adjusted performance metric that measures the probability-weighted ratio of gains versus losses relative to a threshold return. Unlike Sharpe or Sortino ratios, Omega captures the full probability distribution of returns and rewards strategies that maximize upside relative to downside risk. A higher Omega indicates better risk-adjusted performance.

Mentioned in this definition

Sortino Ratio

More in Return & Performance Metrics

Absolute Return StrategyAlphaCAGR (Compound Annual Growth Rate)Cumulative ReturnExpected ValueWin Rate

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