12 CHAPTER 5: Drawdown AVERAGE DRAWDOWN MAXIMUM DRAWDOWN LARGEST INDIVIDUAL DRAWDOWN RECOVERY TIME (OR DRAWDOWN DURATION) DRAWDOWN DEVIATION ULCER INDEX PAIN INDEX CALMAR RATIO (OR DRAWDOWN RATIO) MAR RATIO STERLING RATIO STERLING−CALMAR RATIO BURKE RATIO MODIFIED BURKE RATIO MARTIN RATIO (OR ULCER PERFORMANCE INDEX) PAIN RATIO ACTIVE (OR RELATIVE) DRAWDOWN NOTES
13 CHAPTER 6: Partial Moments DOWNSIDE RISK (OR SEMI-STANDARD DEVIATION) DOWNSIDE POTENTIAL PURE DOWNSIDE RISK HALF VARIANCE (OR SEMI-VARIANCE) UPSIDE RISK (OR UPSIDE UNCERTAINTY) MEAN ABSOLUTE MOMENT OMEGA RATIO (Ω) BERNARDO AND LEDOIT (OR GAIN–LOSS) RATIO d RATIO OMEGA–SHARPE RATIO SORTINO RATIO REWARD TO HALF-VARIANCE DOWNSIDE RISK SHARPE RATIO DOWNSIDE INFORMATION RATIO SORTINO–SATCHELL RATIO KAPPA RATIO UPSIDE POTENTIAL RATIO VOLATILITY SKEWNESS VARIABILITY SKEWNESS FARINELLI–TIBILETTI RATIO GAIN–LOSS SKEWNESS DOWNSIDE SKEWNESS AND KURTOSIS SORTINO RATIO WITH HIGHER ORDER MOMENTS NOTES
14 CHAPTER 7: Prospect Theory PROSPECT RATIO NEW PROSPECT RATIO OMEGA–PROSPECT RATIO NOTES