K-Ratio

K-Ratio

The Zephyr K-Ratio quantifies two things: the appreciation of wealth and the consistency of that wealth creation. 

Like many statistical ratios, the K-Ratio is a return-vs.-risk tradeoff metric, with the numerator being an expression of return and the denominator a measure of risk.  The numerator, the measure of return, is the slope of a best-fit regression line superimposed over a cumulative return series.  The steeper the slope, the larger the number, the faster the rate of appreciation of wealth. 

The Zephyr K-Ratio by Thomas Becker, Ph.D.

Date: 
Wed, 2010-10-13

In 1996, Lars Kestner introduced the K-Ratio as a complement to the Sharpe Ratio. With Version 8.1, Zephyr Associates makes the K-Ratio available to StyleADVISOR users. This article explains the use, the meaning, and the exact mathematical definition of the ratio.

 
 

Informa Investment Solutions is part of the Business Intelligence Division of Informa PLC

This site is operated by a business or businesses owned by Informa PLC and all copyright resides with them. Informa PLC’s registered office is 5 Howick Place, London SW1P 1WG. Registered in England and Wales. Number 8860726.

Informa