## Term Glossary

### Omega Ratio

Omega ratio is the probability weighted ratio of gains to losses, relative to the threshold R. $$\text{Omega Ratio}=\frac{\int_{R}^{\infty}(1-F(r))\, dr}{\int_{-\infty}^{R}F(r)dr}$$

$F(r)$
cumulative distribution function of asset returns
$R$
threshold return

The Omega function has several important mathematical features that can be intuitively and directly interpreted in financial terms.

Firstly, Omega takes the value of 1 when threshold is equal to the expected return i.e. $r = E(r)$, which gives this ratio a natural baseline. Secondly, Omega could be computed with any given degree of precision as it operates on the returns distribution itself and reflects combined effects of all distribution moments.

###### Function Reference
portfolio_omegaRatio, position_omegaRatio