Term Glossary

Metrics, Models & Concepts

Up Number Ratio


Up Number Ratio measures the number of periods in which the asset's compound return was up when the benchmark (e.g. market index) was up, divided by the number of periods in which the benchmark was up. The higher is this ratio, the better is relative performance of an asset. \begin{equation} UNR = \frac{\sum_{i=1}^{T}\mathbf{1}_{r_i>0,r_{M,i}>0}}{\sum_{i=1}^{T}\mathbf{1}_{r_{M,i}>0}} \end{equation} \begin{equation} \mathbf{1}_A = \begin{cases} 1 &\text{if } x \in A, \\0 &\text{if } x \notin A.\end{cases} \end{equation}

\(r_i\)
asset return for period i
\(r_{M,i}\)
market index (benchmark) return for period i


Function Reference
portfolio_upNumberRatio, position_upNumberRatio