Omega Ratio Comparison of the Select SPDR ETF
The following image represents the Omega curves of the Select SPDR ETFs over the absolute range of the Russell 2000 (negative average return to positive average return). Though commonly one would compare these curves after applying some convex monotonic transform, I have left the curves unscaled for the sake of the image clarity.
For more detail on evaluating the Omega and interpreting its results, see Keating and Shadwick's introduction here.

- Michael J Bommarito II's blog
- Add new comment
- 1704 reads
Recent comments
6 days 7 hours ago
1 week 6 days ago
1 week 6 days ago
10 weeks 3 days ago
15 weeks 6 hours ago
15 weeks 1 day ago
17 weeks 4 days ago
17 weeks 5 days ago
18 weeks 3 days ago
19 weeks 6 days ago