Omega Ratio

Definition

Omega Ratio是一种风险调整指标，将概率加权收益与相对于目标收益的概率加权损失进行比较。它在考虑收益分布形态的同时，提供达到特定收益水平可能性的参考。

Formula

$\text{Omega Ratio} = \frac{\sum (R_i > R_T)}{\sum (R_i < R_T)}$

Where:

• $R_i$ = individual returns
• $R_T$ = target return (threshold)
• The numerator sums the returns that are greater than $R_T$ (gains).
• The denominator sums the returns that are less than $R_T$ (losses).