How Is the Sigma Score™ Calculated?

✅ The Sigma Score™ is calculated by analyzing 12 key portfolio metrics, then synthesizing them into three composite scores:

Gamma for Stability

Tau for Resilience

Eta for Efficiency

Each composite score is calculated using

a weighted formula built on institutional-grade risk metrics.


These three scores are then normalized, weighted, and synthesized into a single structural health score from 0 to 100.

Because real investing strength isn’t about how much you made.
It’s about how well your portfolio can survive, adapt, and compound —

in any environment.

📉 The Problem: What Most People Get Wrong

Most investors obsess over performance.
Or worse — a few narrow metrics like Sharpe or Alpha.

But here’s the truth:

Performance is the outcome.
Structure is the cause.

And when you don’t measure structure —
You don’t actually know what you’re standing on.

You might be taking more risk than you realize.
You might be fragile and not know it.
You might think you’re safe…

right until the market proves otherwise.

🔁 The Belief Shift

Old Paradigm: “Good performance means I’m on track.”


New Paradigm: “I can’t trust performance until I measure structural health.”

“Performance can fool you.
The Sigma Score™ tells you the truth.”

🧱 The Structural Explanation

Here’s how the Sigma Score™ is calculated:

⚖️ Step 1: Calculate Gamma (Stability)

Gamma measures how well your portfolio holds up during stress.

Weighted formula (example version):

Gamma = 1.5 × [

 0.20 × log(Sortino / Beta) +

 0.15 × (1 / Std Dev) +

 0.15 × (1 / Max Drawdown) +

 0.20 × (1 / Recovery Burden Index) +

 0.30 × Sharpe Ratio

🔁 Step 2: Calculate Tau (Resilience)

Tau measures how well your portfolio recovers and regenerates after being hit.

Metrics include:

  • Calmar Ratio

  • Information Ratio

  • Time Lost in Recovery

  • Risk-Adjusted Return

Each metric is standardized,

then weighted into a composite resilience score.

⚙️ Step 3: Calculate Eta (Efficiency)

Eta measures how intelligently your portfolio converts risk into return.

Metrics include:

  • Alpha

  • Treynor Ratio

  • Omega Ratio

  • Return Consistency

Again, each is normalized and weighted into a unified efficiency signal.

Σ Step 4: Synthesize Into the Sigma Score™

Each of the three scores — Gamma, Tau, Eta — is normalized on a 0–100 scale.
Then combined using a proprietary weighting formula into:

Sigma Score™ = Structural Strength, in One Number.

✅ Easy to interpret
✅ Based on real risk, not surface performance
✅ Gives you insight before the pain

📊 Why It Matters

Without a structural formula:

  • You don’t know if your portfolio is strong — or just lucky

  • You can’t compare or improve with clarity

  • You keep guessing, hoping, reacting

With the Sigma Score™:

  • You get a full-spectrum diagnostic in one clean number

  • You finally see what’s working — and what’s weak

  • You stop playing blindfolded portfolio roulette

“I’ve never had a number that felt like it actually told the truth…

until I saw my Sigma Score™.”

👥 Who This Is For

→ For investors who want to understand what they actually own:
If you’re tired of chasing performance with no clarity —

this gives you a compass.

→ For fiduciary advisors who want better conversations with clients:
If you need a smarter way to prove value and measure portfolio quality —

this is your system.

🛠 When You’re Ready, Here’s How I Can Help.

🧠 Further Insights to Strengthen Your Clarity

Ready to go deeper?

These aligned insights build on

what you just uncovered.

  • What Is the Sigma Score™ and What Does It Measure?

  • What Are the 12 Dimensions of Risk in a Portfolio?

  • How Do Gamma, Tau, and Eta Work Together?

  • Why Most Portfolios Fail During Market Crashes

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