Performance Metrics

This one handles all the standard risk-adjusted performance metrics you'd need for comparing funds or strategies. It covers Sharpe, Sortino, Information Ratio, Treynor, Calmar, Omega, and upside/downside capture ratios, plus M-squared. The formulas are straightforward and it includes annualization guidance, which matters because getting the sqrt(12) wrong on monthly Sharpe is a classic mistake. The worked examples walk through actual calculations and there's a nice comparison showing when Sortino trumps Sharpe for downside-focused investors. Use this when you need to evaluate whether a manager's returns justify the risk they took, or when someone asks if a fund is worth its volatility. The math is clean and the pitfalls section catches the usual errors.