Alpha
Alpha is the return over and above that predicted by an equilibrium model like the capital asset pricing model (CAPM) and is a proxy for an (active) investment manager’s skill.
Is a risk-adjusted measure of the so-called "excess return" on an investment. It is a common measure of assessing active manager's performance.
The difference between the fair and actually expected rates of return on a stock is called the stock's alpha.


Annualized Compund ROR
The annual average return that assumes the same rate of return every annual period to arrive at the equivalent compound growth rate reflected in the actual return data.


Average Gain
The sum of all monthly returns life to date that are equal to or greater than zero, divided by the number of months that had a return equal to or greater than zero.


Average Loss
The sum of all monthly returns life to date that are less than zero, divided by the number of months that had a return less than zero.


Beta
Beta is the systematic risk (volatility) relative to the market.
The beta coefficient, in terms of finance and investing, describes how the expected return of a stock or portfolio is correlated to the return of the financial market as a whole.


Calmar Ratio
Measures return vs. drawdown risk. The Calmar Ratio is calculated by taking the Compound Annualized Rate of Return divided by the Maximum Drawdown.


Certainty equivalent
If you are offered a gamble, what would be a fair value for you to pay (or be paid) for the opportunity to take it? Consider a 50% chance of losing $100 and 50% chance of winning $100. The expected return is $0. But what about risk? There is no principled way of measuring risk, so let us measure it in terms of the way people actually behave. Empirical research tells us that, in practice, people frame their options, are loss averse, risk seeking and have nonlinear preferences.
This algorithm is an implementation of Tversky and Kahneman's Cumulative Prospect Theory. The measure is known as Certainty Equivalent. Given any distribution of returns, it assigns a single value. This is the return that people, in practice, would consider equivalent in value to the distribution of returns. This measure tells us that we would wish to be paid $22.30 to take the gamble.


Gain Deviation
The degree of variation of the monthly returns that are greater than or equal to zero around mean (average) monthly return for all months with a return equal to or greater than zero, annualized.


Information Ratio
The active return divided by tracking error. Active return is the amount of performance over or under a given benchmark index. Tracking error is the standard deviation of the active return.


Kurtosis
The relative peakedness or flatness of a distribution compared with the normal distribution. Positive kurtosis indicates a relatively peaked distribution. Negative kurtosis indicates a relatively flat distribution.
The high kurtosis of this Program indicates that extreme deviations from the mean have been infrequent, as can be seen in the Distribution of Returns chart at left.


Loss Deviation
The degree of variation of the monthly returns that are less than zero around mean (average) monthly return for all months with a return less than zero, annualized.


Max DD
The largest percentage retrenchment from an equity peak to an equity valley (drawdown) over the life of the investment program.


Omega ratio
The omega ratio is more sophisticated than a alpha ratio and is the successor of the sharpe or jension ratios that you may already be familiar with.
For even given threshold or targeted return level (r) the Omega Ratio is the weighted gain/loss ratio relative to r. It uses all of the information in a return series instead of simple calculations of figures such as mean and variance.


R-squared
A statistical measure that represents the percentage of a fund or security's movements that can be explained by movements in a benchmark index.
R-squared values range from 0 to 100. An R-squared of 100 means that all movements of a security are completely explained by movements in the index. A high R-squared (between 85 and 100) indicates the fund's performance patterns have been in line with the index. A fund with a low R-squared (70 or less) doesn't act much like the index.
A higher R-squared value will indicate a more useful beta figure. For example, if a fund has an R-squared value of close to 100 but has a beta below 1, it is most likely offering higher risk-adjusted returns. A low R-squared means you should ignore the beta.


Sharpe Ratio
The actual rate of return above or below a Risk Free Rate, per unit of risk taken to achieve that return. The Sharpe Ratio is calculated by subtracting the Risk Free Rate from the (annualized) return of the portfolio and then dividing by the (annualized) standard deviation. The Risk Free Rate used is the (annualized) 3 Month T-Bill Rate times a factor that is based on the level of funding relative to the AUM.


Skewness
The degree of asymmetry of a distribution around its mean. Positive skewness indicates a distribution with an asymmetric tail extending toward more positive values. Negative skewness indicates a distribution with an asymmetric tail extending toward more negative values.
The positive skewness of this Program indicates that extreme deviations from the mean have been more to the upside, as can be seen in the Distribution of Returns chart at left.


Sortino RatioThe actual rate of return above or below a Risk Free Rate, per unit of downside risk taken to achieve that return. The Sortino Ratio is calculated by subtracting the Risk Free Rate from the (annualized) return of the portfolio and then dividing by the (annualized) loss deviation. The Risk Free Rate used is the (annualized) 3 Month T-Bill Rate times a factor that is based on the level of funding relative to the AUM.


Standard Deviation
The degree of variation of the monthly returns around the mean (average) monthly return, annualized.


Stutzer Index
A performance measure that rewards portfolios with a lower probability of underperforming a benchmark. Technically, the Stutzer index penalizes negative skewness and high kurtosis - such a distribution will have a lower Stutzer index than a normal distribution with the same mean and variance.
This measure differs from the Sharpe ratio in that it does not assume that returns are normally distributed (bell-shaped). Instead, it takes into account the shape of the distribution of returns. Where the distribution is normal, the Stutzer index and Sharpe ratio are identical.


Treynor ratio
A ratio developed by Jack Treynor that measures returns earned in excess of that which could have been earned on a riskless investment per each unit of market risk.  
The Treynor ratio is calculated as:
(Average Return of the Portfolio - Average Return of the Risk-Free Rate) /  Beta of the Portfolio
In other words, the Treynor ratio is a risk-adjusted measure of return based on systematic risk. It is similar to the Sharpe ratio, with the difference being that the Treynor ratio uses beta as the measurement of volatility.
Also known as the "reward-to-volatility ratio".


Upside ratio
The upside potential ratio is a measure of a return of an investment asset relative to the minimal acceptable return. The measurement allows a firm or individual to choose strategies with growth that is as stable as possible for a given minimum return. The upside potential ratio may also be expressed as a ratio of partial moments.
The measure was developed by Frank A. Sortino.