Performance Metrics

The most widely used risk-adjusted performance measure, quantifying excess return per unit of total risk (standard deviation).

A modification of the Sharpe Ratio that penalizes only downside volatility, providing a more relevant measure for loss-averse investors.

Measures excess return per unit of systematic risk (beta), evaluating performance relative to the undiversifiable market risk taken.

The intercept of the CAPM regression, measuring the abnormal return of a portfolio after adjusting for its systematic risk exposure.

The ratio of active return to tracking error, measuring the consistency with which a manager outperforms the benchmark per unit of active risk.

The ratio of probability-weighted gains to probability-weighted losses above a threshold, capturing the entire return distribution without parametric assumptions.

The ratio of annualized return to the worst peak-to-trough decline, measuring how well the portfolio compensates investors for that decline. FolioLab computes it over the full sample rather than a trailing 36 months, so it carries the same number as RoMaD.

A modification of the Calmar Ratio that divides the CAGR by the average annual drawdown plus a fixed 10 point buffer. Averaging across years, rather than taking the single worst decline, makes it steadier than the Calmar Ratio.

A performance metric built on the portfolio's curve relative to the benchmark, dividing the annualized relative return by the quadratic mean of the relative drawdowns. Squaring the drawdowns penalizes erratic loss patterns more heavily than smooth ones.

A risk-adjusted return measure that leverages or de-leverages the portfolio to match the benchmark's volatility, expressing performance as the return the portfolio would have earned at the benchmark's level of risk.

The ratio of upside potential (expected returns above a threshold) to downside risk, focusing on the reward-to-downside-risk trade-off.