Video #175) VTS Performance Score - Risk vs Reward metric better than the Sharpe Ratio

Updated: Feb 17


The VTS Performance Score is my own designed metric to measure the rate of return of an investment in relation to the most direct pain point that investors feel, which is the maximum drawdowns. Most of the other risk adjusted return metrics like the Sharpe Ratio, Treynor, Sortino, or even the Ulcer Performance Index, they use standard deviation and variance to determine risk. While that is an important element, I feel it's actually the maximum drawdown that's the most direct indication of whether investors can stay the course or whether they pull the plug.




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