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Medium · risk_management · Quant Researcher interview question · omega_ratio, performance_metric, gain_loss_ratio, portfolio_evaluation, risk_management
The Omega ratio is a performance metric used in quantitative finance to evaluate strategies with non-normal return distributions, such as those involving options or tail-risk hedging. It improves upon traditional metrics like the Sharpe ratio by capturing the full return distribution, computing a probability-weighted ratio of gains to losses relative to a specified return threshold. This provides a more complete picture of performance, especially for asymmetric payoff profiles. Task Implement t