Why use the Omega ratio?

Standard Sharpe ratio only captures mean and variance, missing skewness and fat tails. Omega uses the entire return distribution, making it superior for strategies with non-normal returns like options selling.

What Omega ratio is considered good?

Omega > 1 means more probability-weighted returns above the threshold than below. Values of 1.5-2.0+ are generally considered good. The higher the threshold return used, the lower the Omega.

Omega Ratio Calculator

Calculate the Omega ratio for investment strategies and portfolios. Omega = sum of returns above threshold / sum of returns below threshold, capturing all moments of the return distribution beyond mean and variance.

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$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.

How to Use

Enter the values for the scenario you are assessing. Calculate the Omega ratio for investment strategies and portfolios. Omega = sum of returns above threshold / sum of returns below threshold, capturing all moments of the return distribution beyond mean and variance. Use the omega ratio result to inform your calculation.

Omega Ratio Calculator

How to Use

Frequently Asked Questions

Why use the Omega ratio?

What Omega ratio is considered good?