Portfolio Performance Measurement

New paper:
The 101 Ways to Measure Portfolio Performance by Philippe Cogneau and Georges Hübner

Alpha
Beta
Calmar Ratio
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) (last updated 3 October 2007)

Links
Bibliography

Webmaster: Martin Sewell