Return/Vol Ratio
1Y return relative to volatility
Description
This metric is simple: it relates the 1-year return to volatility.
Two assets can deliver the same return — the one with less volatility looks more efficient/stable.
Source
Calculation
- 1) 1-year return (ret_1y)
- 2) Annualized 365d volatility (vol_365d_ann)
- 3) ret_1y / abs(vol_365d_ann)
Interpretation
- Higher is better.
- Very high values can occur when volatility is extremely low — in that case it’s worth checking drawdowns as a sanity check.
Ranking
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