New Measures, Same Ranking
May 2017–April 2020
Calmar ratio
Sortino ratio
Omega ratio
Sharpe ratio
Eurekahedge 50
3
3
3
3
S&P 500
2
2
2
2
ICE BofA US Broad Market Index
1
1
1
1
Bloomberg Commodity Index
4
4
4
4
