Strategy Profile Delta Strategy - G1

Sharpe Ratio
The Sharpe ratio is a measure of the excess return (or Risk Premium) per unit of risk in an investment asset or a trading strategy. It is calculated by taking the investment's average monthly excess return over the user-defined risk-free rate and dividing by the monthly standard deviation of excess returns to determine reward per unit of risk. A higher Sharpe ratio reflects better historical risk-adjusted performance.

Sortino Ratio
The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target, or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. It is thus a measure of risk-adjusted returns that is demonstrably more accurate than the Sharpe ratio.

MAR Ratio
MAR ratio often applied to hedge funds and used to determine return relative to downside risk. It is calculated by taking the average annual rate of return for the selected period divided by the maximum drawdown. A higher MAR ratio reflects better historical risk-adjusted performance.

Maximum Drawdown (MaxDD)
This is the maximum loss (compounded, not annualized) that can incurre during a specific record period for the investment. Conceptually, the calculation looks at all subperiods of the time period in question and calculates the compound return of the investment over that period. The maximum drawdown is the minimum of zero and all these compound returns.