Criteria used to measure asset and portfolio performance

Sharpe ratio : Measures the excess return of an asset relative to the volatility.

Sortino ratio : A modification of the Sharpe Ratio which  penalizes only the returns which are below zero.

Treynor ratio : Also called reward to volatility  calculates excess return over the risk free interest.

Alpha : Portfolio uses Jensen's alpha as measurement. The Jensen's alpha is defined as follows.
Alpha = (Profit Asset - Annual Risk Free Rate) - ((Beta (Asset variations, Indices variations) * (Profit Indices - Annual Risk Free Rate))) .Alpha is a good indicator of funds managers ability to over perform their benchmark.

Beta : Beta is a measure of a security or portfolio's volatility, or systematic risk, in comparison to the market as a whole. Beta is also known as "beta coefficient." A beta of 1 indicates that the security's price will move with the market. A beta of less than 1 implies that the security will be less volatile than the market. A beta greater than 1 indicates that the security's price will be more volatile than the market. For example, if a stock's beta is 1.2 it's theoretically 20% more volatile than the market.

Volatility : Volatility is a statistical measure of the amount of fluctuation in an asset price within a period of time. A stock with high volatility would have rapid up and down movements in its stock price. A stock with very little movement in its price would constitute low volatility.

Downside volatility : Volatility calculated on adverse price movements.

Value-at-risk : The Value at risk of an asset or a portfolio derived from volatility and corrected by the Cornish-Fisher approximation to take into account the Skewness and the Kurtosis of the asset prices distribution.

Profit : Profit performance is the compounded annualized profit with dividends reinvested.

Hurst exponent : Hurst exponent reflects the aptitude of each asset to over-perform (under perform) its benchmark in term of profit or alpha. If this exponent is superior to 50% the trend is considered as persistent, if inferior or equal to 50% it is considered as anti-persistent. In other words, the asset aptitude to generate profit or alpha compared to its benchmark has some randomness. This indicator must be used carefully in conjunction with other indicators (such as D-Stat test) and for several intervals of time.

Risk elimination : Intra-portfolio correlation is a mean to quantify diversification. The range is from -1 to 1, with -1 being the most diversified and 1 being the least. Portfolio uses a weighted average intra-portfolio correlation which in turn is converted in a percentage of risk-elimination.