Omega Ratio

The omega ratio is more sophisticated than a alpha ratio and is the successor of the sharpe or jension ratios that you may already be familiar with. If you are not I will soon be writing on all of these and adding them to InvestmentDefinition.com.

For even given threshold or targeted return level (r) the Omega Ratio is the weighted gain/loss ratio relative to r. It uses all of the information in a return series instead of simple calculations of figures such as mean and variance.

For more in depth explanations of the omega ratio please see the omega ratio links below.

Omega Ratio Links

Omega Ratio Link #1: Duke University Paper on Omega Ratios

Omega Ratio Link #2: AIMA on Omega Ratios