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.
Alpha
Beta
Calmar Ratio
Cumulative prospect theory certainty equivalent
Maximum Drawdown
Information Ratio
Omega
Sharpe Ratio
Sortino Ratio
Stutzer Index
Treynor’s Measure
Upside Potential Ratio
Performance Measurement Calculator (Web-based)
Return, Volatility and the Sharpe Ratio Calculator (Web-based)
Performance Measurement Calculator (Excel Spreadsheet)
Performance Metric Analysis (Excel Spreadsheet)
Eureka Financial course on Performance Measurement, London, 24 April 2012
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