List of financial performance measures

Return measures

• Arithmetic return: average return of different observation periods
• Geometric return: return depending only on start date and end date of one overall observation period
• Rate of return or return on investment
• Total shareholder return: annualized growth in capital assuming that dividends are reinvested

  Risk measures

• Risk measure
• * Distortion risk measure
• * Tail conditional expectation
• * Value at risk
• * Convex risk measure
• ** Entropic risk measure
• * Coherent risk measure
• ** Discounted maximum loss
• ** Expected shortfall
• ** Superhedging price
• ** Spectral risk measure
• Deviation risk measure
• * Standard deviation or Variance
• Mid-range
• * Interdecile range
• * Interquartile range

  Risk-adjusted performance measures

• Calmar ratio
• Coefficient of variation
• Information ratio
• Jaws ratio
• Jensen's alpha
• Modigliani risk-adjusted performance
• Roy's safety-first criterion
• Sharpe ratio
• Sortino ratio
• Sterling ratio
• Treynor ratio
• Upside potential ratio
• V2 ratio