Alpha
The excess return of an investment relative to a benchmark, after adjusting for the level of market risk taken.
Calmar Ratio
Compares a fund's annualised growth rate to its worst drawdown — a risk-adjusted return metric for drawdown-sensitive investors.
Capture Ratios
Measure how much of a benchmark's gains a fund captures in rising markets, and how much of its losses it incurs in falling markets.
Information Ratio
Measures how consistently a fund generates active return above its benchmark per unit of active risk (tracking error).
Jensen's Alpha
The excess return a portfolio earns above what CAPM predicts given its level of systematic risk.
Sharpe Ratio
Measures excess return per unit of total volatility — the most widely used risk-adjusted performance metric.
Sortino Ratio
Like the Sharpe ratio but penalises only downside volatility — better for asymmetric return distributions.
Total Return
The overall gain or loss from an investment including both price appreciation and income such as dividends or interest.
Treynor Ratio
Measures excess return per unit of systematic (market) risk — useful for comparing diversified portfolios.