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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
Related Statistics:
Pain Index
Drawdown
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