Portfolio Performance Measurement

Contents

Alpha
Beta
Calmar Ratio
Cumulative prospect theory certainty equivalent
Maximum Drawdown
Information Ratio
Omega
Sharpe Ratio
Sortino Ratio
Stutzer Index
Treynor ratio
Upside Potential Ratio

Introduction

The problem of how to maximize growth of wealth has been solved (maximize the expected value of the logarithm of wealth after each period (Kelly (1956); Breiman (1961)), but most investors are unwilling to endure the volatility of wealth that such a strategy entails. For this reason, various risk-adjusted performance metrics have been developed.

Articles

All

Articles published since 2000| 2001| 2002| 2003| 2004| 2005| 2006| 2007| 2008| 2009| 2010| 2011| 2012

Software

• Performance Measurement Calculator (Web-based)
• Return, Volatility and the Sharpe Ratio Calculator (Web-based)
• Performance Measurement Calculator (Excel Spreadsheet) (updated 11 February 2012)
• Performance Metric Analysis (Excel Spreadsheet)

Courses

• Eureka Financial course on Performance Measurement, London, 24 April 2012

Links

• Andreas Steiner: Investment Performance Analysis

References

• BREIMAN, L., 1961. Optimal gambling systems for favorable games. In: Jerzy NEYMAN, ed. Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability, Volume I. Berkeley: University of California Press, pp. 65–78.
• KELLY, Jr, J. L., 1956. A new interpretation of information rate. The Bell System Technical Journal, 35(4), 917–926.

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