The first type of metrics is absolute investment performance metrics that are called “classic” metrics since they are based on the CAPM. They include the Sharpe ratio, the information ratio, and tracking error. To compute the Sharpe ratio from data, usesharpeto calculate the ratio for one or more asset return series. To compute the information ratio and associated tracking error, useinforatioto calculate these quantities for one or more asset return series.

The second type of metrics is relative investment performance metrics to compute risk-adjusted returns. These metrics are also based on the CAPM and include Beta, Jensen's Alpha, the Security Market Line (SML), Modigliani and Modigliani Risk-Adjusted Return, and the Graham-Harvey measures. To calculate risk-adjusted alpha and return, useportalpha.

The third type of metrics is alternative investment performance metrics based on lower partial moments. To calculate lower partial moments, uselpmfor sample lower partial moments andelpmfor expected lower partial moments.

The fourth type of metrics is performance metrics based on maximum drawdown and expected maximum drawdown.Drawdownis the peak to trough decline during a specific record period of an investment or fund. To calculate maximum or expected maximum drawdowns, usemaxdrawdownandemaxdrawdown.