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