**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**

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.

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**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)**

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

- 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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