Term Glossary

Metrics, Models & Concepts

Modified Sharpe Ratio

Modified Sharpe Ratio is a performance measure which amends traditional Sharpe Ratio to account for non-Gaussianity of return distribution. \begin{equation} MSR_{\alpha} = \frac{E(r)-r_f}{MVaR_{\alpha}} \end{equation}

expected return
risk free rate of return
Modified Value-at-Risk at \(\alpha\)-quantile

An intraday version of the ratio could be reduced further to: \begin{equation} MSR_{\alpha, intraday} = \frac{E(r)}{MVaR_{\alpha}} \end{equation}

Function Reference
portfolio_modifiedSharpeRatio, position_modifiedSharpeRatio