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Portfolio Construction & Risk Metrics

Performance numbers without risk context are noise. These articles cover the metrics we use to evaluate options portfolios — Sharpe, Sortino, Calmar, MAR, drawdown statistics — and how portfolio construction changes them.

Sharpe ratio vs Sortino, Calmar, and MAR for an options strategy — a negatively skewed return distribution with a fat left tail on a light chart panel.

Risk MetricsSharpeSortino

Sharpe Ratio for Options Strategies: Why Sellers Need More

The Sharpe ratio overstates options strategy quality on negatively skewed returns. What Sortino, Calmar, MAR, and WMAR capture instead — formulas included.

18 min read

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