Finance

Similar to the Sharpe Ratio, only that it takes the downside deviation instead of the standard deviation. 

(Average return - RiskfreeReturn) / downside Deviatoo

Just like the Sharpe ratio, a higher Sortino ratio result is better. When looking at two similar investments, a rational investor would prefer the one with the higher Sortino ratio because it means that the investment is earning more return per unit of the bad risk that it takes on

This measure is similar to the loss standard deviation except the downside deviation considers only returns that fall below a defined minimum acceptable return (MAR) rather than the arithmetic mean. For example, if the MAR is 6%, the downside deviation would measure the variation of each period that falls below 6%. (The loss standard deviation, on the other hand, would take only losing periods, calculate an average return for the losing periods, and then measure the variation between each losing return and the losing return average).

An annualized total return is the geometric average amount of money earned by an investment each year over a given time period.

12% annualized return in 3 years means 12% return earned every year for the past three years and not 12% total return in 3 years.

An annualized total return provides only a snapshot of an investment's performance and does not give investors any indication of its volatility

This measure characterizes the degree of asymmetry of a distribution around its mean. Positive skewness indicates a distribution with an asymmetric tail extending toward more positive values. Negative skewness indicates a distribution with an asymmetric tail extending toward more negative values.

Time-Weighted-Return

Misst die Performance des Portfoliomanagers/Portfolio. Wie gut performt das Portfolio. 

Der Kapitalfluss wird für diese Berechnung exkludiert. 

The Omega ratio is a relative measure of the likelihood of achieving a given return, such as a minimum acceptable return (MAR) or a target return. The higher the omega value, the greater the probability that a given return will be met or exceeded. Omega represents a ratio of the cumulative probability of an investment’s outcome above an investor’s defined return level (a threshold level), to the cumulative probability of an investment’s outcome below an investor’s threshold level

Standard deviation(PF - Bench )

Tracking error shows an investment's consistency versus a benchmark over a given period of time. 

From an investor point of view, tracking error can be used to evaluate portfolio managers. If a manager is realizing low average returns and has a large tracking error, it is a sign that there is something significantly wrong with that investment and that the investor should most likely find a replacement. Evaluating the past tracking error of a portfolio manager may provide insight into the level of benchmark risk control the manager may demonstrate in the future. 

(Total Return PF - total Return Bench) / Tracking Error

The information ratio (IR) is a measurement of portfolio returns beyond the returns of a benchmark, usually an index, compared to the volatility of those returns. The benchmark used is typically an index that represents the market or a particular sector or industry.

The IR is often used as a measure of a portfolio manager's level of skill and ability to generate excess returns relative to a benchmark, but it also attempts to identify the consistency of the performance by incorporating a tracking error, or standard deviation component into the calculation.