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 |