OMEGARATIO
Measure the probability weighted ratio of gains to losses for a given target return.
Description
The Omega ratio can be considered a complement or an alternative to the widely used Sharpe ratio (or return-to-risk statistics). The Omega ratio uses all statistical moments within the data and does discard information from higher moments, it measures the probability weighted ratio of gains to losses as partitioned by a specified level of return target.
Syntax
The following describes the function signature for use in Microsoft Excel's formula bar.
Input(s)
| Argument | Description |
|---|---|
returns | Required. Time series or matrix of instrument returns. |
threshold | Optional. Return threshold. If the argument is not defined, it will use zero. |
Output(s)
Vector of Omega ratio(s).
Example
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