Performance, Risk, and Diagnostic Metrics
35 metrics that FolioLab computes for every optimised portfolio, grouped into performance ratios, risk and drawdown measures, beta variants, and higher-moment diagnostics. Each metric has a dedicated page covering its mathematical definition, interpretation, and primary academic citation.
On this page
Performance Ratios
Risk-adjusted return measures, ranging from the classical Sharpe and Sortino ratios to drawdown-adjusted variants (Calmar, Sterling, V2), information-ratio style active measures, and Modigliani-style benchmark-rescaled returns.
Sharpe Ratio
Excess return per unit of total volatility.
Sharpe Stability Ratio
HAC-robust temporal consistency of the rolling Sharpe.
Sortino Ratio
Excess return per unit of downside-only deviation.
Treynor Ratio
Excess return per unit of CAPM beta.
Jensen's Alpha
CAPM-adjusted excess return; intercept of the market-model regression.
Information Ratio
Active return per unit of tracking error.
Omega Ratio
Probability-weighted gain-to-loss ratio.
Calmar Ratio
CAGR divided by absolute maximum drawdown.
Sterling Ratio
Return-to-average-drawdown variant of Calmar.
V2 Ratio
Drawdown-adjusted return ratio used in CTA reporting.
Modigliani M-squared
Sharpe ratio rescaled to the volatility of a benchmark.
Upside Potential Ratio
Above-target gain over below-target deviation.
Risk & Drawdown Metrics
Tail-loss and dispersion measures, including coherent risk measures (CVaR, EVaR), drawdown-based measures (DaR, CDaR, Ulcer Index), and the third- and fourth-moment shape statistics of the return distribution.
Value at Risk (VaR)
Tail-quantile loss at a chosen confidence level.
Conditional VaR
Expected loss in the worst (1 - alpha)-fraction of scenarios.
Entropic VaR (EVaR)
Coherent, smooth upper bound on CVaR via Chernoff.
Maximum Drawdown
Worst peak-to-trough decline over the sample.
Drawdown at Risk
Quantile of the running drawdown distribution.
Conditional Drawdown at Risk
Expected drawdown in the worst tail-fraction.
Ulcer Index
Root-mean-squared drawdown across the sample.
Skewness
Third standardised moment; asymmetry of the return distribution.
Kurtosis
Fourth standardised moment; tail-heaviness.
Tracking Error
Volatility of the active return relative to a benchmark.
Beta Variants
Different lenses on systematic exposure to a benchmark, including the classical CAPM beta, time-varying rolling beta, mean-reverting Blume adjustment, slope-bounded Welch beta, and the asymmetric semi-beta.
CAPM Beta
OLS slope on the market excess return.
Rolling Beta
Time-varying beta estimated on a rolling window.
Blume-Adjusted Beta
Mean-reverting beta shrinkage toward 1.
Welch-Style Robust Beta
Slope-bounded beta estimator following Welch (2022).
Semi-Beta (Downside)
Beta computed on negative-return co-movement only.
GARCH Beta (Related Work)
Conditional beta from a multivariate GARCH; declared but not actively executed.
Higher-Moment & Diagnostic Metrics
Higher-order co-moments with the benchmark, concentration and diversification diagnostics on the weight vector, and capture ratios that summarise asymmetric performance in up- and down-benchmark periods.
Coskewness
Higher-order co-moment with the benchmark return.
Cokurtosis
Fourth-moment co-movement with the benchmark return.
Portfolio Entropy
Shannon entropy of the weight vector; concentration measure.
Gini Mean Difference
Pairwise mean absolute difference of returns.
Upside Capture Ratio
Average return in up-benchmark months relative to the benchmark.
Downside Capture Ratio
Average return in down-benchmark months relative to the benchmark.
Effective Number of Constituents
Inverse Herfindahl-Hirschman concentration on weights.