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List of financial performance measures
This article comprises a
list of measures of financial performance
.
Basic definitions
Return on equity
Return on assets
Return on investment
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