Pain Ratio

 The pain ratio is the analogue to the Sharpe Ratio, with the pain index used instead of the standard deviation:

    Pain Ratio = (AnnRtn(r1,...,rn) - AnnRtn(c1,...,cn)) / PainIndex(r1,...,rn)

where:

    r1,...,rn = manager return series
    c1,...,cn = cash equivalent return series

To view our quick tip video on Pain Ratio, click the following link:  http://www.styleadvisor.com/sites/default/files/quick_tip_video/pain_rat....

For additional detail, please see our white paper regarding Pain Index and Pain Ratio.

 
 

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