Omega Ratio Comparison of Select SPDR ETFs

The following image represents the Omega curves of the Select SPDR ETFs over the absolute range of the Russell 2000 (negative average return to positive average return). Though commonly one would compare these curves after applying some convex monotonic transform, I have left the curves unscaled for the sake of the image clarity.

For more detail on evaluating the Omega and interpreting its results, see Keating and Shadwick's introduction here (.pdf).

click to enlarge