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Summers Ratio
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Summers Ratio Calculator

The Summers Total Risk-Adjusted Performance Measure is a modified version of the Omega ratio that is scaled by the expected downside return of the market. This measure aims to provide a comprehensive and user-friendly way to evaluate the performance of an investment relative to the market.

The Summers Total Risk-Adjusted Performance Measure aims to provide investors with a straightforward method of comparing their investment performance to the market. This measure considers both the returns generated by the investment and the associated risk. The measure is based on the Omega ratio, which has been adjusted for the market's expected downside return, similar to how Modigliani transformed the Sharpe ratio. The result of the Summers Total Risk-Adjusted Performance Measure reflects the investment's return above a benchmark (e.g., the market), adjusted for the expected downside risk. For example, if a portfolio has double the benchmark risk, it would require a double excess return to have the same risk-adjusted return.

By incorporating the market's expected downside return into the Omega ratio, the Summers ratio provides a comprehensive view of an investment's risk-adjusted return making it a valuable tool for investors looking to assess their portfolio performance and make informed investment decisions.

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Summers Ratio Settings


Rolling Annualized 12-month Summers Ratio Chart

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Summers Ratio Formula

Summers Ratio Formula
Expected return of the asset or portfolio

 — Expected return of the asset or portfolio

Risk-free rate

 — Risk-free rate

Portfolio return on day t

 — Portfolio return on day t

Market return on day t

 — Market return on day t

Period length

 — Period length