Integration function

Return distribution
Threshold t
Lower limit
Higher limit
Omega
3.8793725
#NAME?
2
-1.879373
6 24 36
Model to forecast the price of a commodity - shows time-series fitting and tim

Example: calculate the Omega ratio for a return distribution

VoseError(1,1,5)

1.00E-07
(t )

t 1 F ( R ) dR
t

F ( R ) dR

Omega Ratio Explanation

The omega ratio is more sophisticated than a alpha ratio and is the successor of
the sharpe or jension ratios that you may already be familiar with.

For even given threshold or targeted return level (r) the Omega Ratio is the
weighted gain/loss ratio relative to r. It uses all of the information in a return
series instead of simple calculations of figures such as mean and variance.
 time-series fitting and time-series simulation

1 F ( R ) dR
t

F ( R ) dR

ccessor of

is the
return
ance.