Rachev Ratio
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The Rachev Ratio takes the expected tail return and divides it by the expected tail loss. Since its dividing expected return by a measurement of risk, higher is always better.
The 1% expected tail return would be divided by the 99% expected tail loss. The 5% expected tail return would be divided by the 95% expected tail loss, and the 10% expected tail return would be divided by the 90% expected tail loss. Essentially, you want to subtract the percentage expected tail return from 100%, and that will give you the expected tail loss percentage in the denominator. In all cases, use the same time period to get accurate results.
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