Omega Ratio

Definition

Omega Ratio是一種風險調整指標，將機率加權收益與相對於目標報酬的機率加權損失進行比較。它在考慮報酬分佈形態的同時，提供達到特定報酬水準可能性的參考。

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).