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How do you calculate the Omega Ratio in Excel?
Simulationconsultant
The Omega Ratio is the probability-weighted gains divided by the probability-weighted losses after a threshold. You need to calculate the first-order lower partial moments of the returns data. This sounds difficult but it's very easy.
A spreadsheet to implement this formula can be found at the related link below
If the cell range "returns" contain the investment returns, and the cell "threshold" contains the threshold return, then the Omega Ratio is
={sum(if(returns > threshold, returns - threshold,"")) / -sum(if(returns < threshold, returns - threshold, ""))}
where the {} represent a matrix formula
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∙ 12y ago
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