omega_ratio(returns_tms: qf_lib.containers.series.simple_returns_series.SimpleReturnsSeries, threshold: float = 0) → float[source]¶
Omega Ratio - The Omega Ratio is a measure of performance that doesn’t assume a normal distribution of returns. The Omega ratio is a relative measure of the likelihood of achieving a given return, such as a minimum acceptable return (MAR) or a target return. The higher the omega value, the greater the probability that a given return will be met or exceeded. Omega represents a ratio of the cumulative probability of an investment’s outcome above an investor’s defined return level (a threshold level), to the cumulative probability of an investment’s outcome below an investor’s threshold level. The omega concept divides expected returns into two parts – gains and losses, or returns above the expected rate (the upside)and those below it (the downside). Therefore, in simple terms, consider omega as the ratio of upside returns (good) relative to downside returns (bad).
returns_tms (SimpleReturnsSeries) – time series of price returns
threshold (float) – threshold (e.g. benchmark return or target return) for the portfolio
Omega Ratio calculated for threshold
- Return type