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All traders hope to maximize the percentage return on their investment by as much as possible, however higher returns usually come at a higher risk. This is the reason why risk adjusted returns are the main measure of performance in the investment industry. There are many different measures of risk adjusted return, each one with its own set of advantages and disadvantages. The Sharpe ratio is a popular risk return measure famous for imposing unrealistic preconditions on the distribution of returns being analyzed. This has inevitably lead to the development of alternative performance metrics that seek to provide the same ubiquity of the Sharpe ratio without its shortcommings. In this article we provide the implementation of alternative risk return metrics and generate hypothetical equity curves to analyze their characteristics.

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