The Common Traits of Stock Market Wizards | Interview with Jack Schwager (Episode 5)
The TraderLion Podcast
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What Are Your Favorite Performance Metrics?
I'm not a big fan of return alone. Return by itself doesn't mean anything unless you normalize it by the risk taken to get that,. to get that, that, that return. So, so that's why I tend to almost focus solely on return to risk. The most common return to risk measure is the short which takes the average annual return and divides it by annualized volatility. Volatility can be a proxy but far from a perfect proxy for risk.
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