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.

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