I've been using the following formula for model selection as an alternative to Alpha: mean(StrategyDeltas)/std(StrategyDeltas) - mean(BenchmarkDeltas)/std(BenchmarkDeltas) WHERE Deltas = the change in liquid value during the time intervals sampled Strategy = the trading strategy on some set of assets Benchmark = SPY (SnP500) This makes intuitive sense to me as it normalizes the scale of the Strategy and Benchmark portfolios to their respective risks so that they are commensurable for the subtraction. However, when I search for mean/std all I come up with is "Coefficient of Variation" which is the inverse of what I'm using for my Alpha alternative. Is there a name for the inverse of the Coefficient of Variation and is it used in risk management?
This is just a difference between two Sharpe Ratios (Sharpe ratios also have risk free rates, but these would be mostly cancelled out or close to zero given a small enough time period and low enough interest rate). So it's just "Is my SR higher than the benchmark?" GAT