Term Glossary

Metrics, Models & Concepts

STARR Ratio


STARR Ratio (Stable Tail Adjusted Return Ratio) evalutes risk adjusted performance in an alternative to the Sharpe Ratio way. STARR takes into account the major drawback of the standard deviation as a risk measure, which penalizes not only for upside but for downside potential as well and employs the Conditional Value-at-Risk of the asset returns for the performance adjustment. \begin{equation} STARR_{\alpha}=\frac{E(r-r_{f})}{CVaR_{\alpha}(r-r_{f})} \end{equation}

\(r\)
asset return
\(r_f\)
risk free rate of return
\(CVaR_{\alpha}\)
Conditional Value-at-Risk at \(\alpha\)-quantile

An intraday version of the ratio could be reduced further by setting a risk-free rate equal to zero: \begin{equation} STARR_{\alpha}=\frac{E(r)}{CVaR_{\alpha}(r)} \end{equation}


Function Reference
portfolio_starrRatio, position_starrRatio