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Keating & Shadwick in 2002, it is defined as the probability weighted ratio of gains versus losses for some threshold return target. Omega is calculated by creating a partition in the cumulative return distribution in order to create an area of losses and an area for gains relative to this threshold. The ratio is calculated as: : Where F is the cumulative distribution function, r the threshold and partition defining the gain versus the loss. A larger ratio indicates that the asset provides more gains relative to losses for some threshold r and so would be preferred by an investor. Comparisons can be made with the commonly used Sharpe ratio which considers the ratio of return versus volatility.〔 〕 The Sharpe ratio considers only the first two moments of the return distribution whereas the Omega ratio, by construction, considers all moments. ==See also== *Post-modern portfolio theory *Upside potential ratio *Sharpe ratio *Sortino ratio *Modern Portfolio Theory 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Omega ratio」の詳細全文を読む スポンサード リンク
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