performance-metrics
Performance Metrics
Purpose
Evaluate investment performance on a risk-adjusted basis using industry-standard ratios and capture analysis. This skill covers the Sharpe, Sortino, Information, Treynor, and Calmar ratios, the Omega ratio, upside/downside capture ratios, and M-squared. These metrics allow fair comparison across strategies with different risk profiles.
Layer
1a — Realized Risk & Performance
Direction
Retrospective
When to Use
- Evaluating how well an investment or strategy performed relative to the risk it took
- Comparing managers, funds, or strategies on a risk-adjusted basis
- Computing Sharpe, Sortino, Information Ratio, Treynor, or Calmar ratios
- Performing upside/downside capture analysis against a benchmark
- Calculating the Omega ratio for a given threshold return
- Assessing M-squared (Modigliani-Modigliani) risk-adjusted performance
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