Name

Estimator Description

SR

Sharpe ratio

DSR

Downside Sharpe Ratio

SoRc

Sortino ratio with threshold a constant c

ESratio

Mean excess return to ES ratio with tail probability α

VaRratio

Mean excess return to VaR ratio with tail probability α

Rachevratio

Rachev ratio with lower and upper tail probabilities α and β

Omega

Omega ratio with threshold c