Performance Ratios

Read these first

1. 01The Standard Error of the Sharpe Ratio

   A Sharpe ratio computed from a track record is an estimate, and estimates have error bars. For daily data the rule is almost embarrassingly simple, the standard error is about one over the square root of the number of years.

Then the rest

1. 02Alpha (α)
2. 03Beta (β)
3. 04Volatility
4. 05Sharpe Ratio
5. 06Sortino Ratio
6. 07Information Ratio
7. 08Calmar Ratio
8. 09Max Drawdown
9. 10Annualising the Sharpe Ratio
10. 11Drawdown
11. 12Geometric vs Arithmetic Returns
12. 13M-Squared Risk-Adjusted Performance
13. 14The Ulcer Index
14. 15Upside and Downside Capture Ratios
15. 16Win Rate and Payoff Ratio