The Omega Risk Measure

Traditional investment performance benchmarks quantify how much investors could potentially lose, given the variance (or downside-variance) of the portfolio. These include the Sharpe Ratio and the Sortino Ratio, which generally favor investments with a lower downside risk.

If you’re a regular traveller, you’ll know that changing money from one currency to another can be a constantly changing battleground. Foreign exchange rates (or Forex), change all the time, and what can seem like a good rate can disappear…