Arithmetic Method,
,
where,
y is return of subject for time period t,
rf is the investor�s minimum acceptable or threshold periodic return.
LPM (Lower Partial moment) was defined by Harlow [1991]. It is a downside risk measure.
Annualized,
Omega is defined by Shadwick and Keating [2002], and can be used as an alternative to the Sharpe ratio in measuring risk-adjusted return. Unlike Sharpe, Omega doesn�t assume a normal return distribution, and focuses on the likelihood of not meeting some target return. By design, Omega and Sortino ratio measures are special cases of the Kappa measure.
Arithmetic Method,
,
where,
y is return of subject for time period t,
rf is the investor�s minimum acceptable or threshold periodic return.
LPM (Lower Partial moment) was defined by Harlow [1991]. It is a downside risk measure.
Annualized,