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The V2 ratio (V2R) is a measure of excess return per unit of exposure to loss of an investment asset, portfolio or strategy, compared to a given benchmark. The goal of the V2 ratio is to improve on existing and popular measures of risk-adjusted return, such as the Sharpe ratio, information ratio or Sterling ratio by taking into account the psychological impact of investment performances. The V2 ratio over-penalizes investments for which the investors had to go through bad returns comparatively to the market. The V2R is calculated as:

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  • V2 ratio (en)
  • V2比率 (zh)
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  • V2比率（英語：V2 ratio，簡稱「V2R」）是一種衡量投資資產、投資組合或與特定基準相比，每單位損失風險的超額收益（excess return）。 V2比率旨在透過考慮投資者表現的心理影響，改進現有且流行的衡量標準（如夏普比率、或）。V2比率對投資者不得不經歷與市場相比的不良回報的資產處以過份不公平的對待（over-penalize）。 V2R定義為： 當中是於時間的投資和基準值之間的比率（而、則分別為起始值和終值）、為於時間時所達到的峰值比、為周期數，而則為一年中相同的周期數。 (zh)
  • The V2 ratio (V2R) is a measure of excess return per unit of exposure to loss of an investment asset, portfolio or strategy, compared to a given benchmark. The goal of the V2 ratio is to improve on existing and popular measures of risk-adjusted return, such as the Sharpe ratio, information ratio or Sterling ratio by taking into account the psychological impact of investment performances. The V2 ratio over-penalizes investments for which the investors had to go through bad returns comparatively to the market. The V2R is calculated as: (en)
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  • The V2 ratio (V2R) is a measure of excess return per unit of exposure to loss of an investment asset, portfolio or strategy, compared to a given benchmark. The goal of the V2 ratio is to improve on existing and popular measures of risk-adjusted return, such as the Sharpe ratio, information ratio or Sterling ratio by taking into account the psychological impact of investment performances. The V2 ratio over-penalizes investments for which the investors had to go through bad returns comparatively to the market. The V2R is calculated as: where is the ratio between the investment and the benchmark values at time (and , the initial and final values respectively), the peak value ratio reached at time , the number of periods and the number of identical periods in a year. (en)
  • V2比率（英語：V2 ratio，簡稱「V2R」）是一種衡量投資資產、投資組合或與特定基準相比，每單位損失風險的超額收益（excess return）。 V2比率旨在透過考慮投資者表現的心理影響，改進現有且流行的衡量標準（如夏普比率、或）。V2比率對投資者不得不經歷與市場相比的不良回報的資產處以過份不公平的對待（over-penalize）。 V2R定義為： 當中是於時間的投資和基準值之間的比率（而、則分別為起始值和終值）、為於時間時所達到的峰值比、為周期數，而則為一年中相同的周期數。 (zh)
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