What is the Omega ratio?

Omega measures risk–reward relative to a target (MAR) by comparing probability-weighted gains above the target to probability-weighted losses below it. Higher values indicate a more favourable balance of upside to downside.

How is Omega calculated?

For each period, compute max(r − L, 0) and max(L − r, 0), where L is the per-period MAR mapped to the same return space (simple or log). Omega equals the sum of gains divided by the sum of losses.

What inputs do I need?

Provide a series of returns (or prices to derive returns), choose simple or log returns, and set a per-period MAR (e.g., a monthly MAR if you use monthly returns).

Does annualisation or standard deviation affect Omega?

No. Omega is computed per period relative to your MAR and does not require annualisation or variance estimators. Ensure your MAR matches the period of your data.

What does a 'good' Omega ratio look like?

Omega greater than 1.0 indicates more probability-weighted upside than downside relative to the chosen MAR; values well above 1.0 are more favourable. Interpretation depends on asset class, sample size, and the MAR chosen.

Optimly Calculators | Omega Ratio Calculator

CALCULATOR FEEDBACK

Investment data

Data type:

Add / remove rows

Performance settings

Target return / MAR (%)

Calculator options

Return type