K-Ratio, vad är det? – definition och förklaring

K-Ratio, är ett prestandamått på avkastning i förhållande till risk. K-ratio introducerades av Lars Kestner först 1996 i tidningen TASC (Technical Analysis of Stocks & Commodities).

Lars Kestner skrev då:

”I have developed a new method of evaluating performance that is more robust than current popular techniques. This method, which maintains the idea of measuring reward as compared with risk, utilizes more advanced statistical techniques to quantify performance. Rather than simply looking at returns independently, consistency of results through time will be the focal point of this new performance method. ”

2013 skrev han förljande rapport om K-ratio:

Abstract –  ((Re)Introducing the K-Ratio)

I introduced the K-ratio in 1996 as a reward to risk measurement to compliment the popular Sharpe ratio. The K-ratio is calculated by fitting a linear trend series to cumulative returns and estimating the slope and variability of slope. Over the years there have been comments on adjustments factors needed to account for varying number of return observations and return periodicity. In this paper I show that the correct adjustments to the raw K-ratio include dividing by the number of return observations and multiplying by the square root of expected observations in a calendar year.

Vill du räkna ut K-ration så rekommenderar jag följande sida.

Andra vanliga avkastningsmått är Sharpekvot, Jensens alfa, Sortino ratio, Rina index, Profit factor och Treynors kvot.

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