Sharpe Ratio: Return Per Unit of Risk
Sortino Ratio: Penalizing Only the Downside
Calmar Ratio: Return Per Unit of Worst-Case Pain
Information Ratio: Consistency of Beating the Benchmark

← Calmar Ratio: Return Per Unit of Worst-Case Pain Vectors: A List of Numbers With a Purpose →

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Information Ratio: Consistency of Beating the Benchmark

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