Abstract
EVOLUTIQ GmbH is issuing a series of white papers on the subject of systematic trading. These papers discuss different approaches to systematic trading, present specific trading strategies and introduce associated risk management techniques. This issue "Overview of Popular Performance Measurement Ratios" intends to provide the interested reader with an overview of popular ratios used to evaluate investment performance. We discuss five performance measurement ratios, which we consider the most common ones to measure performance in the alternative industry universe.In this paper, we review five popular performance ratios: Calmar Ratio, Omega, Sharpe Ratio, Sortino Ratio and Treynor Ratio. We discuss each ratio as per the following subsections: history, basis, formula, strengths & weaknesses, boundary values of the function & improved variations of the ratio.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
