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.

=OMEGARATIO(returns, threshold)

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

56KB

RATIOS.xlsx

Open

Example Workbook: RATIOS