Investment indicators | Financial ratios

V2 ratio

The V2 ratio (V2R) is a measure of excess return per unit of exposure to loss of an investment asset, portfolio or strategy, compared to a given benchmark. The goal of the V2 ratio is to improve on existing and popular measures of risk-adjusted return, such as the Sharpe ratio, information ratio or Sterling ratio by taking into account the psychological impact of investment performances. The V2 ratio over-penalizes investments for which the investors had to go through bad returns comparatively to the market. The V2R is calculated as: where is the ratio between the investment and the benchmark values at time (and , the initial and final values respectively), the peak value ratio reached at time , the number of periods and the number of identical periods in a year. (Wikipedia).

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Sterling ratio | Information ratio | Treynor ratio | Drawdown (economics) | Sharpe ratio | Root mean square | Omega ratio | Sortino ratio