risk-adjusted-return

Python versions of risk definitions and measures for optimizing risk-adjusted return

Implemented for self-study, see http://www.turingfinance.com/computational-investing-with-python-week-one/ for base used for source.

risk definitions

Vol
Beta
Expected shortfall
Lower partial moments
Drawdowns

measures of risk-adjusted returns

based on vol:

Treynor ratio
Sharpe ratio
Information ratio
Modigliani ratio

based on VaR:

Excess return on VaR
Conditional Sharpe ratio

based on partial moments:

Omega ratio
Sortino ratio
Upside-potential ratio

based on drawdown risk:

Calmar ratio
Sterling ratio