Investment Performance Metrics

The risk and ratio formulas for investment performance metrics come from:

[12] Daniel Bernoulli, "Exposition of a New Theory on the Measurement of Risk," Econometrica, Vol. 22, No 1, January 1954, pp. 23-36 (English translation of "Specimen Theoriae Novae de Mensura Sortis," Commentarii Academiae Scientiarum Imperialis Petropolitanae, Tomus V, 1738, pp. 175-192).

[13] Martin Eling and Frank Schuhmacher, Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds?, Working Paper, November 2005.

[14] John Lintner, "The Valuation of Risk Assets and the Selection of Risky Investments in Stocks Portfolios and Capital Budgets," Review of Economics and Statistics, Vol. 47, No. 1, February 1965, pp. 13-37.

[15] Malik Magdon-Ismail, Amir F. Atiya, Amrit Pratap, and Yaser S. Abu-Mostafa, "On the Maximum Drawdown of a Brownian Motion," Journal of Applied Probability, Volume 41, Number 1, March 2004, pp. 147-161.

[16] Malik Magdon-Ismail and Amir Atiya, "Maximum Drawdown," http://www.risk.net/risk-magazine, October 2004.

[17] Harry Markowitz, "Portfolio Selection," Journal of Finance, Vol. 7, No. 1, March 1952, pp. 77-91.

[18] Harry Markowitz, Portfolio Selection: Efficient Diversification of Investments, John Wiley & Sons, 1959.

[19] Jan Mossin, "Equilibrium in a Capital Asset Market," Econometrica, Vol. 34, No. 4, October 1966, pp. 768-783.

[20] Christian S. Pedersen and Ted Rudholm-Alfvin, "Selecting a Risk-Adjusted Shareholder Performance Measure," Journal of Asset Management, Vol. 4, No. 3, 2003, pp. 152-172.

[21] William F. Sharpe, "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk," Journal of Finance, Vol. 19, No. 3, September 1964, pp. 425-442.

[22] Katerina Simons, "Risk-Adjusted Performance of Mutual Funds," New England Economic Review, September/October 1998, pp. 34-48.

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