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q-fin.RM2019
Omega and Sharpe ratio
Eric Benhamou, Beatrice Guez, Nicolas Paris1
Omega ratio, defined as the probability-weighted ratio of gains over losses at a given level of expected return, has been advocated as a better performance indicator compared to Sh…
q-fin.RM2019
Testing Sharpe ratio: luck or skill?
Eric Benhamou, David Saltiel, Beatrice Guez +1
Sharpe ratio (sometimes also referred to as information ratio) is widely used in asset management to compare and benchmark funds and asset managers. It computes the ratio of the (e…