K-Ratio
The K-Ratio measures the slope and consistency of cumulative excess returns using a time-trend regression.
Specialized investment-performance measures for evaluating return paths, consistency, and statistical uncertainty.
Advanced performance metrics go beyond a period’s beginning-to-ending return to examine how results developed through time. The K-Ratio fits a time trend to cumulative excess returns and compares the estimated slope with its standard error.
Interpret any specialized metric with its exact formula version, observation frequency, sample dates, cash-flow treatment, fees, reference return, and data quality. Older and newer implementations can produce different values from the same return history.
Use return-path measures alongside metrics that address different questions, such as the Sharpe Ratio for total volatility and the Calmar Ratio for maximum historical drawdown. A strong historical score does not establish skill, remove tail or liquidity risk, or guarantee future performance.
This material is educational and does not recommend a strategy, manager, fund, security, formula implementation, or account.
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The K-Ratio measures the slope and consistency of cumulative excess returns using a time-trend regression.