What Is Gamma, Tau, and Eta

in Portfolio Design?

✅ Gamma, Tau, and Eta are the three core scores

that measure the structural health of a portfolio.

Together, they form the Sigma Score™ —

a diagnostic that evaluates your portfolio’s:

- Stability (Gamma)

- Resilience (Tau)

- Efficiency (Eta)

Instead of guessing with risk tolerance or chasing returns,

you now have a clear, multidimensional framework to measure strength.

📉 The Problem: What Most People Get Wrong

Wall Street trained investors to think in fragments:

“What’s the return?”
“How volatile is it?”
“What’s the Sharpe ratio?”

But here’s the truth:

Portfolios don’t break because of one metric.

They break because the structure was fragile —

and no one saw the full picture.

Performance alone hides fragility.

Volatility alone hides risk asymmetry.

And traditional metrics alone ignore

how a portfolio behaves under pressure.

When you don’t measure all three forces — stability, resilience, and efficiency —

your portfolio becomes a blind bet.

🔁 The Belief Shift

Old Paradigm: “Risk and return tell the whole story.”

New Paradigm: “Structural integrity determines survival.”

“You don’t just need more performance.
You need a portfolio that holds together.”

🧱 The Structural Explanation

Here’s how Gamma, Tau, and Eta work:

🛡 Gamma = Stability

How structurally sound is your portfolio?

Measures exposure to large drawdowns and market sensitivity
Highlights how well the portfolio avoids unnecessary damage
Built from: Beta, Standard Deviation, Max Drawdown, Sharpe Ratio, Recovery Burden

🔄 Tau = Resilience

How quickly can your portfolio bounce back?

Measures downside durability and recovery speed
Tells you whether your gains stick — or vanish under stress
Built from: Sortino, Calmar, Omega, Recovery Time

⚙ Eta = Efficiency

How well does your portfolio convert risk into reward?

Measures return quality, signal strength, and strategic precision
Exposes wasted complexity or overfitting
Built from: Alpha, Treynor, Information Ratio

⚙ Eta = Efficiency

How well does your portfolio convert risk into reward?

Together, they create Sigma (Σ) —

your complete portfolio health score.

📊 Why It Matters

✅ You finally see your portfolio’s true structural strength
✅ You can identify weak points — and fix them
✅ You gain confidence in logic, not hope
✅ You stop reacting emotionally because the system shows you where you stand