Omega Ratio Screener
Stocks ranked by gain-to-loss ratio
Compares the sum of all gains above a threshold to the sum of all losses below it, capturing the full return distribution including skewness and tail risk. Higher is better; above 1 means more gains than losses, above 2 is strong.
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What Is the Omega Ratio?
The Omega ratio, introduced by Keating and Shadwick in 2002, is a risk-return metric that captures the entire return distribution — not just the mean and variance like the Sharpe ratio. It divides the probability-weighted sum of all gains above a threshold by the sum of all losses below it.
Formula: Omega = Sum of Returns Above Threshold / Sum of Returns Below Threshold
The threshold is typically set at 0% (the break-even point). If a stock has daily returns of +2%, +1%, -1%, +3%, -0.5%, its gains above 0 total 6% and losses below 0 total 1.5%, giving an Omega ratio of 4.0 — indicating a strong gain-to-loss profile.
How to Interpret It
Higher is better. An Omega ratio of exactly 1 means gains and losses are perfectly balanced. Above 1 means more total gains than losses, and above 2 indicates a strong performer. Unlike simpler metrics, the Omega ratio naturally accounts for skewness (asymmetric returns) and kurtosis (fat tails).
Why Omega Captures What Sharpe Misses
The Sharpe ratio assumes returns follow a normal (bell curve) distribution, but real stock returns often don't — they can be skewed (more extreme moves in one direction) or have fat tails (more extreme events than expected). The Omega ratio doesn't make any distributional assumptions. It simply counts all gains vs. all losses, making it particularly valuable for stocks with unusual return patterns like biotech or heavily shorted names.
Limitations
The Omega ratio can be sensitive to the choice of threshold and measurement period. It's also less intuitive than the Sharpe or Sortino ratios for quick comparisons. Our screener uses a 0% threshold and calculates across multiple time periods for consistency. Learn more in our financial glossary.