Mamyshev 2R regenerator

The Sterling ratio (SR) is a measure of the risk-adjusted return of an investment portfolio.

Multiple definitions of the Sterling ratio exist. The original definition was most likely suggested by Deane Sterling Jones (a company no longer in existence):

$SR=\frac{AnnualPortfolioReturn}{AverageLargestDrawdown+10\%}$

Typically the time period is over 3 years and only the largest individual drawdowns are included (e.g. 3 or 5).

The "plus 10%" definition is arbitrarily designed to provide a similar value to the Calmar ratio. This version of the Sterling ratio may be adjusted to something more like a Sharpe ratio as follows:

$SR=\frac{AnnualPortfolioReturn-AnnualRisk\mathrm{-}FreeRate}{AverageLargestDrawdown}$

See also

• Sortino ratio

References

43 year old Petroleum Engineer Harry from Deep River, usually spends time with hobbies and interests like renting movies, property developers in singapore new condominium and vehicle racing. Constantly enjoys going to destinations like Camino Real de Tierra Adentro. Bacon, Carl, Practical portfolio performance measurement and attribution 2nd edition, Wiley 2008, ISBN 978-0-470-05928-9