Performance Metrics

The most widely used risk-adjusted performance measure, quantifying excess return per unit of total risk (standard deviation).

A modification of the Sharpe Ratio that penalizes only downside volatility, providing a more relevant measure for loss-averse investors.

Measures excess return per unit of systematic risk (beta), evaluating performance relative to the undiversifiable market risk taken.

The intercept of the CAPM regression, measuring the abnormal return of a portfolio after adjusting for its systematic risk exposure.

The ratio of active return to tracking error, measuring the consistency with which a manager outperforms the benchmark per unit of active risk.

The ratio of probability-weighted gains to probability-weighted losses above a threshold, capturing the entire return distribution without parametric assumptions.

The ratio of annualized return to maximum drawdown, measuring how well the portfolio compensates investors for the worst peak-to-trough decline.

A modification of the Calmar Ratio that uses average maximum drawdown (often with a buffer), providing a more stable drawdown-adjusted performance measure.

A performance metric that adjusts returns for the variability of drawdowns, penalizing strategies with erratic loss patterns more heavily than those with smooth equity curves.

A risk-adjusted return measure that leverages or de-leverages the portfolio to match the benchmark's volatility, expressing performance as a return differential.

The ratio of upside potential (expected returns above a threshold) to downside risk, focusing on the reward-to-downside-risk trade-off.