Login     Register

        Contact Us     Search

Menu

XLeratorDB/financial Documentation

SQL Server Omega Sharpe ratio of asset returns


OmegaSharpeRatio

Updated: 31 January 2016


Use the aggregate function OmegaSharpeRatio to calculate the Omega-Sharpe ratio of asset returns. OmegaSharpeRatio is the ratio of the UpsideRisk and the DownsidePotential minus 1 .

OmegaSharpeRatio = ω - 1
Syntax
SELECT [wct].[OmegaSharpeRatio](
  <@R, float,>
 ,<@MAR, float,>)
Arguments
@R
the asset return for a period; the percentage return in floating point format (i.e. 10% = 0.10). @R is an expression of type float or of a type that can be implicitly converted to float.
@MAR
the minimum acceptable return in floating point format (i.e. 10% = 0.10). @MAR is an expression of type float or of a type that can be implicitly converted to float.
Return Type
float
Remarks
·         If @R IS NULL it is not included in the calculation.
·         If @MAR IS NULL it is set to zero.
·         If there are no non-NULL rows in a GROUP then NULL is returned.
·         @MAR must be the same for all values in a GROUP.
·         Available in XLeratorDB / financial 2008 only
Examples
In this example we have returns for an asset and its benchmark for the last three years. The minimum acceptable return is 0.005.
SELECT
   wct.OmegaSharpeRatio(Ra,0.005) as OmegaSharpeRatio
FROM (VALUES
    ('2012-12-31',0.001378,-0.003929)
   ,('2013-01-31',0.028677,-0.001701)
   ,('2013-02-28',0.005801,0.003165)
   ,('2013-03-31',0.01442,-0.006487)
   ,('2013-04-30',0.00229,-0.004653)
   ,('2013-05-31',0.014905,0.009577)
   ,('2013-06-30',0.008594,0.00588)
   ,('2013-07-31',0.011531,0.005089)
   ,('2013-08-31',0.008268,0.005233)
   ,('2013-09-30',0.013993,-0.004338)
   ,('2013-10-31',0.009147,-0.006109)
   ,('2013-11-30',-0.00316,-0.002222)
   ,('2013-12-31',-0.00595,0.005451)
   ,('2014-01-31',0.013398,-0.008099)
   ,('2014-02-28',0.002847,-0.000299)
   ,('2014-03-31',-0.009544,-0.009809)
   ,('2014-04-30',0.002516,0.008875)
   ,('2014-05-31',0.004626,-0.002681)
   ,('2014-06-30',-0.002141,0.000312)
   ,('2014-07-31',0.009247,0.00936)
   ,('2014-08-31',-0.01253,0.005434)
   ,('2014-09-30',0.00441,0.008157)
   ,('2014-10-31',0.01626,-0.006766)
   ,('2014-11-30',0.013207,0.005742)
   ,('2014-12-31',-0.008561,-0.005063)
   ,('2015-01-31',0.012357,0.004357)
   ,('2015-02-28',-0.002057,-0.00044)
   ,('2015-03-31',0.008217,-0.004866)
   ,('2015-04-30',-0.013439,-0.007649)
   ,('2015-05-31',0.004391,-0.002073)
   ,('2015-06-30',-0.008997,0.00399)
   ,('2015-07-31',-0.001878,-0.00613)
   ,('2015-08-31',-0.014381,-0.00351)
   ,('2015-09-30',-0.001885,0.001172)
   ,('2015-10-31',-0.001121,-0.000024)
   ,('2015-11-30',0.000816,0.002596)
   ,('2015-12-31',-0.003088,-0.009025)
   )n(dt,Ra,Rb)

This produces the following result.


In this example we have 6 managers plus a benchmark stored in the #managers table which is in 'spreadsheet' format. The minimum acceptable rate is 0.005.
SELECT
   *
INTO
   #managers
FROM (VALUES
    ('2012-12-31',-0.002546,NULL,NULL,0.003006,NULL,0.005007,-0.001839)
   ,('2013-01-31',0.00977,NULL,NULL,0.001,NULL,-0.007579,0.008614)
   ,('2013-02-28',0.024726,NULL,NULL,0.005703,NULL,0.006496,-0.004624)
   ,('2013-03-31',0.000942,NULL,NULL,0.007578,NULL,0.008333,0.005031)
   ,('2013-04-30',0.022139,NULL,NULL,0.007118,NULL,-0.007312,-0.005431)
   ,('2013-05-31',0.019449,NULL,NULL,0.005659,NULL,-0.003902,-0.001878)
   ,('2013-06-30',-0.007964,NULL,NULL,0.003757,NULL,-0.001899,-0.00706)
   ,('2013-07-31',-0.008262,-0.002824,NULL,0.003762,NULL,-0.007347,-0.001982)
   ,('2013-08-31',0.009617,0.007319,NULL,0.0022,NULL,-0.002116,0.003867)
   ,('2013-09-30',-0.004118,0.004128,NULL,0.001394,NULL,0.008333,0.001356)
   ,('2013-10-31',0.010754,-0.001578,NULL,0.003483,NULL,-0.004724,-0.001342)
   ,('2013-11-30',0.002402,0.020835,NULL,0.001,NULL,0.003954,-0.000306)
   ,('2013-12-31',0.004581,0.015689,NULL,0.002146,NULL,0.008333,0.001118)
   ,('2014-01-31',-0.00055,-0.001027,-0.008245,0.00732,NULL,0.004025,-0.007227)
   ,('2014-02-28',-0.001512,0.001653,-0.009029,0.009919,NULL,-0.008333,-0.003878)
   ,('2014-03-31',0.008784,0.004364,-0.011608,0.001,NULL,-0.008333,-0.004822)
   ,('2014-04-30',0.008412,-0.012369,-0.004692,0.004536,NULL,-0.006303,0.004306)
   ,('2014-05-31',0.003945,0.010651,-0.016833,0.001,NULL,-0.007974,0.005221)
   ,('2014-06-30',0.012371,0.01773,-0.010384,0.010593,NULL,-0.004781,-0.000731)
   ,('2014-07-31',0.011915,0.004308,-0.012965,0.001,NULL,0.007751,-0.009239)
   ,('2014-08-31',-0.013738,0.00039,0.000009,0.005139,0.001,-0.003319,-0.003636)
   ,('2014-09-30',-0.004081,0.01968,-0.008214,0.007976,0.001,-0.003799,0.005563)
   ,('2014-10-31',0.01608,0.015291,-0.002969,0.01303,0.001,-0.004645,0.001599)
   ,('2014-11-30',0.011241,0.012312,0.007088,0.00384,0.000852,0.006783,-0.008487)
   ,('2014-12-31',-0.004251,0.008737,-0.013576,0.001,0.001,-0.0034,0.001013)
   ,('2015-01-31',-0.004039,0.012938,-0.011891,0.004576,0.001,-0.004195,-0.002653)
   ,('2015-02-28',0.026326,0.019695,-0.013178,0.010737,0.001,0.006418,-0.00952)
   ,('2015-03-31',-0.000628,0.008029,0.005917,0.017461,0.00048,-0.00501,0.007879)
   ,('2015-04-30',0.005688,0.01249,-0.018813,0.001,-0.002104,0.003657,0.009886)
   ,('2015-05-31',0.010039,0.008442,-0.01465,0.001,0.001,0.001024,0.001695)
   ,('2015-06-30',-0.004267,0.001391,-0.022504,0.003104,0.001,-0.003507,0.009854)
   ,('2015-07-31',-0.001672,0.020558,-0.011859,0.001,0.001,NULL,0.008361)
   ,('2015-08-31',0.015726,0.017419,-0.004556,0.001,-0.000462,NULL,-0.007253)
   ,('2015-09-30',0.001977,0.007301,-0.00811,0.013011,-0.001032,NULL,0.009911)
   ,('2015-10-31',0.016201,0.00877,-0.005536,0.014527,-0.000833,NULL,0.009897)
   ,('2015-11-30',0.019996,-0.000785,-0.002161,0.001947,0.001,NULL,-0.007307)
   ,('2015-12-31',-0.003254,0.009595,-0.013785,0.001,0.001,NULL,0.007196)
   )n(dt,man1,man2,man3,man4,man5,man6,bmark)


To calculate the Omega Sharpe ratio for each manager against a minimum acceptable return of 0.5% we run the following SQL.
SELECT
   wct.OmegaSharpeRatio(man1,0.005) as man1
   ,wct.OmegaSharpeRatio(man2,0.005) as man2
   ,wct.OmegaSharpeRatio(man3,0.005) as man3   
   ,wct.OmegaSharpeRatio(man4,0.005) as man4   
   ,wct.OmegaSharpeRatio(man5,0.005) as man5   
   ,wct.OmegaSharpeRatio(man6,0.005) as man6
   ,wct.OmegaSharpeRatio(bmark,0.005) as bmark
FROM
   #managers

This produces the following result.


Using the same data from the previous example in the #nmanagers table which is in 3rd normal form we perform the same calculation.
SELECT
   *
INTO
   #nmanagers
FROM (VALUES
    ('2012-12-31','man1',-0.002546)
   ,('2012-12-31','man4',0.003006)
   ,('2012-12-31','man6',0.005007)
   ,('2012-12-31','bmark',-0.001839)
   ,('2013-01-31','man1',0.009770)
   ,('2013-01-31','man4',0.001000)
   ,('2013-01-31','man6',-0.007579)
   ,('2013-01-31','bmark',0.008614)
   ,('2013-02-28','man1',0.024726)
   ,('2013-02-28','man4',0.005703)
   ,('2013-02-28','man6',0.006496)
   ,('2013-02-28','bmark',-0.004624)
   ,('2013-03-31','man1',0.000942)
   ,('2013-03-31','man4',0.007578)
   ,('2013-03-31','man6',0.008333)
   ,('2013-03-31','bmark',0.005031)
   ,('2013-04-30','man1',0.022139)
   ,('2013-04-30','man4',0.007118)
   ,('2013-04-30','man6',-0.007312)
   ,('2013-04-30','bmark',-0.005431)
   ,('2013-05-31','man1',0.019449)
   ,('2013-05-31','man4',0.005659)
   ,('2013-05-31','man6',-0.003902)
   ,('2013-05-31','bmark',-0.001878)
   ,('2013-06-30','man1',-0.007964)
   ,('2013-06-30','man4',0.003757)
   ,('2013-06-30','man6',-0.001899)
   ,('2013-06-30','bmark',-0.007060)
   ,('2013-07-31','man1',-0.008262)
   ,('2013-07-31','man2',-0.002824)
   ,('2013-07-31','man4',0.003762)
   ,('2013-07-31','man6',-0.007347)
   ,('2013-07-31','bmark',-0.001982)
   ,('2013-08-31','man1',0.009617)
   ,('2013-08-31','man2',0.007319)
   ,('2013-08-31','man4',0.002200)
   ,('2013-08-31','man6',-0.002116)
   ,('2013-08-31','bmark',0.003867)
   ,('2013-09-30','man1',-0.004118)
   ,('2013-09-30','man2',0.004128)
   ,('2013-09-30','man4',0.001394)
   ,('2013-09-30','man6',0.008333)
   ,('2013-09-30','bmark',0.001356)
   ,('2013-10-31','man1',0.010754)
   ,('2013-10-31','man2',-0.001578)
   ,('2013-10-31','man4',0.003483)
   ,('2013-10-31','man6',-0.004724)
   ,('2013-10-31','bmark',-0.001342)
   ,('2013-11-30','man1',0.002402)
   ,('2013-11-30','man2',0.020835)
   ,('2013-11-30','man4',0.001000)
   ,('2013-11-30','man6',0.003954)
   ,('2013-11-30','bmark',-0.000306)
   ,('2013-12-31','man1',0.004581)
   ,('2013-12-31','man2',0.015689)
   ,('2013-12-31','man4',0.002146)
   ,('2013-12-31','man6',0.008333)
   ,('2013-12-31','bmark',0.001118)
   ,('2014-01-31','man1',-0.000550)
   ,('2014-01-31','man2',-0.001027)
   ,('2014-01-31','man3',-0.008245)
   ,('2014-01-31','man4',0.007320)
   ,('2014-01-31','man6',0.004025)
   ,('2014-01-31','bmark',-0.007227)
   ,('2014-02-28','man1',-0.001512)
   ,('2014-02-28','man2',0.001653)
   ,('2014-02-28','man3',-0.009029)
   ,('2014-02-28','man4',0.009919)
   ,('2014-02-28','man6',-0.008333)
   ,('2014-02-28','bmark',-0.003878)
   ,('2014-03-31','man1',0.008784)
   ,('2014-03-31','man2',0.004364)
   ,('2014-03-31','man3',-0.011608)
   ,('2014-03-31','man4',0.001000)
   ,('2014-03-31','man6',-0.008333)
   ,('2014-03-31','bmark',-0.004822)
   ,('2014-04-30','man1',0.008412)
   ,('2014-04-30','man2',-0.012369)
   ,('2014-04-30','man3',-0.004692)
   ,('2014-04-30','man4',0.004536)
   ,('2014-04-30','man6',-0.006303)
   ,('2014-04-30','bmark',0.004306)
   ,('2014-05-31','man1',0.003945)
   ,('2014-05-31','man2',0.010651)
   ,('2014-05-31','man3',-0.016833)
   ,('2014-05-31','man4',0.001000)
   ,('2014-05-31','man6',-0.007974)
   ,('2014-05-31','bmark',0.005221)
   ,('2014-06-30','man1',0.012371)
   ,('2014-06-30','man2',0.017730)
   ,('2014-06-30','man3',-0.010384)
   ,('2014-06-30','man4',0.010593)
   ,('2014-06-30','man6',-0.004781)
   ,('2014-06-30','bmark',-0.000731)
   ,('2014-07-31','man1',0.011915)
   ,('2014-07-31','man2',0.004308)
   ,('2014-07-31','man3',-0.012965)
   ,('2014-07-31','man4',0.001000)
   ,('2014-07-31','man6',0.007751)
   ,('2014-07-31','bmark',-0.009239)
   ,('2014-08-31','man1',-0.013738)
   ,('2014-08-31','man2',0.000390)
   ,('2014-08-31','man3',0.000009)
   ,('2014-08-31','man4',0.005139)
   ,('2014-08-31','man5',0.001000)
   ,('2014-08-31','man6',-0.003319)
   ,('2014-08-31','bmark',-0.003636)
   ,('2014-09-30','man1',-0.004081)
   ,('2014-09-30','man2',0.019680)
   ,('2014-09-30','man3',-0.008214)
   ,('2014-09-30','man4',0.007976)
   ,('2014-09-30','man5',0.001000)
   ,('2014-09-30','man6',-0.003799)
   ,('2014-09-30','bmark',0.005563)
   ,('2014-10-31','man1',0.016080)
   ,('2014-10-31','man2',0.015291)
   ,('2014-10-31','man3',-0.002969)
   ,('2014-10-31','man4',0.013030)
   ,('2014-10-31','man5',0.001000)
   ,('2014-10-31','man6',-0.004645)
   ,('2014-10-31','bmark',0.001599)
   ,('2014-11-30','man1',0.011241)
   ,('2014-11-30','man2',0.012312)
   ,('2014-11-30','man3',0.007088)
   ,('2014-11-30','man4',0.003840)
   ,('2014-11-30','man5',0.000852)
   ,('2014-11-30','man6',0.006783)
   ,('2014-11-30','bmark',-0.008487)
   ,('2014-12-31','man1',-0.004251)
   ,('2014-12-31','man2',0.008737)
   ,('2014-12-31','man3',-0.013576)
   ,('2014-12-31','man4',0.001000)
   ,('2014-12-31','man5',0.001000)
   ,('2014-12-31','man6',-0.003400)
   ,('2014-12-31','bmark',0.001013)
   ,('2015-01-31','man1',-0.004039)
   ,('2015-01-31','man2',0.012938)
   ,('2015-01-31','man3',-0.011891)
   ,('2015-01-31','man4',0.004576)
   ,('2015-01-31','man5',0.001000)
   ,('2015-01-31','man6',-0.004195)
   ,('2015-01-31','bmark',-0.002653)
   ,('2015-02-28','man1',0.026326)
   ,('2015-02-28','man2',0.019695)
   ,('2015-02-28','man3',-0.013178)
   ,('2015-02-28','man4',0.010737)
   ,('2015-02-28','man5',0.001000)
   ,('2015-02-28','man6',0.006418)
   ,('2015-02-28','bmark',-0.009520)
   ,('2015-03-31','man1',-0.000628)
   ,('2015-03-31','man2',0.008029)
   ,('2015-03-31','man3',0.005917)
   ,('2015-03-31','man4',0.017461)
   ,('2015-03-31','man5',0.000480)
   ,('2015-03-31','man6',-0.005010)
   ,('2015-03-31','bmark',0.007879)
   ,('2015-04-30','man1',0.005688)
   ,('2015-04-30','man2',0.012490)
   ,('2015-04-30','man3',-0.018813)
   ,('2015-04-30','man4',0.001000)
   ,('2015-04-30','man5',-0.002104)
   ,('2015-04-30','man6',0.003657)
   ,('2015-04-30','bmark',0.009886)
   ,('2015-05-31','man1',0.010039)
   ,('2015-05-31','man2',0.008442)
   ,('2015-05-31','man3',-0.014650)
   ,('2015-05-31','man4',0.001000)
   ,('2015-05-31','man5',0.001000)
   ,('2015-05-31','man6',0.001024)
   ,('2015-05-31','bmark',0.001695)
   ,('2015-06-30','man1',-0.004267)
   ,('2015-06-30','man2',0.001391)
   ,('2015-06-30','man3',-0.022504)
   ,('2015-06-30','man4',0.003104)
   ,('2015-06-30','man5',0.001000)
   ,('2015-06-30','man6',-0.003507)
   ,('2015-06-30','bmark',0.009854)
   ,('2015-07-31','man1',-0.001672)
   ,('2015-07-31','man2',0.020558)
   ,('2015-07-31','man3',-0.011859)
   ,('2015-07-31','man4',0.001000)
   ,('2015-07-31','man5',0.001000)
   ,('2015-07-31','bmark',0.008361)
   ,('2015-08-31','man1',0.015726)
   ,('2015-08-31','man2',0.017419)
   ,('2015-08-31','man3',-0.004556)
   ,('2015-08-31','man4',0.001000)
   ,('2015-08-31','man5',-0.000462)
   ,('2015-08-31','bmark',-0.007253)
   ,('2015-09-30','man1',0.001977)
   ,('2015-09-30','man2',0.007301)
   ,('2015-09-30','man3',-0.008110)
   ,('2015-09-30','man4',0.013011)
   ,('2015-09-30','man5',-0.001032)
   ,('2015-09-30','bmark',0.009911)
   ,('2015-10-31','man1',0.016201)
   ,('2015-10-31','man2',0.008770)
   ,('2015-10-31','man3',-0.005536)
   ,('2015-10-31','man4',0.014527)
   ,('2015-10-31','man5',-0.000833)
   ,('2015-10-31','bmark',0.009897)
   ,('2015-11-30','man1',0.019996)
   ,('2015-11-30','man2',-0.000785)
   ,('2015-11-30','man3',-0.002161)
   ,('2015-11-30','man4',0.001947)
   ,('2015-11-30','man5',0.001000)
   ,('2015-11-30','bmark',-0.007307)
   ,('2015-12-31','man1',-0.003254)
   ,('2015-12-31','man2',0.009595)
   ,('2015-12-31','man3',-0.013785)
   ,('2015-12-31','man4',0.001000)
   ,('2015-12-31','man5',0.001000)
   ,('2015-12-31','bmark',0.007196)
)n(dt,man,R)
SELECT
    man as manager
   ,wct.OmegaSharpeRatio(r,0.005) as OmegaSharpeRatio
FROM
   #nmanagers m
GROUP BY
   man

This produces the following result.

 

See Also

 



View Topic History
Copyright 2008-2024 Westclintech LLC         Privacy Policy        Terms of Service