Just because it is so very simple these days we researched the pouplarity of the various measures using a google search.
| Hits March 2011 | |
|---|---|
| Annualized Return | 944k |
| CAGR | 1.9M |
| Calmar Ratio | 30k |
| Deviation of Returns | 288k |
| Drawdown | 2.1M |
| MAR Ratio | 27k |
| RAROC | 263k |
| Regressed Annual Return | 911 |
| Robust Sharpe Ratio | 1570 |
| Sharpe Ratio | 1.4M |
| SOL Quotient | 161 |
| Sortino Ratio | 68k |
| Sterling Ratio | 47k |
| Ulcer Index | 42k |
| Value at Risk | 1.1M |
Some Terms like Modigliani, RAR, MAR UPI and VaR don’t work with this methods because there are too many unrelated hits on google.
As expected people care most about profits (Annualized Return + CAGR), then they are obsessed with drawdowns. Clear winners in terms of popularitry are Sharpe Ratio and VaR. Our favourite “Ulcer” related measures are among the least popular though.