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Hello everyone,
I’ve been working on a new metric called the Comprehensive Risk-Adjusted Portfolio Efficiency (CRPE), designed to address some of the limitations of traditional metrics like the Sharpe Ratio, Sortino Ratio, and Calmar Ratio.
Traditional metrics often rely on single-point values, arbitrary thresholds, or don't differentiate risk. The CRPE provides a more holistic view by analyzing the entire drawdown profile relative to a benchmark. This allows for meaningful comparisons across strategies, even when benchmarks differ significantly.
I’d love to hear your thoughts on this new approach. If you’re interested, I’ve written a detailed overview on my blog that you can check out here.
Thanks,
Roman Mohren
I’ve been working on a new metric called the Comprehensive Risk-Adjusted Portfolio Efficiency (CRPE), designed to address some of the limitations of traditional metrics like the Sharpe Ratio, Sortino Ratio, and Calmar Ratio.
Traditional metrics often rely on single-point values, arbitrary thresholds, or don't differentiate risk. The CRPE provides a more holistic view by analyzing the entire drawdown profile relative to a benchmark. This allows for meaningful comparisons across strategies, even when benchmarks differ significantly.
I’d love to hear your thoughts on this new approach. If you’re interested, I’ve written a detailed overview on my blog that you can check out here.
Thanks,
Roman Mohren
