Ratios for judging investment performance

Which measures are most useful for assessing the performance of a fund or trading strategy?

Risk-adjusted ones, chiefly the Sharpe ratio $(\mu-r_f)/\sigma$, plus Sortino, Treynor, information ratio, alpha and maximum drawdown. Sortino uses only downside deviation; Treynor divides by beta; the information ratio scales active return by tracking error; Jensen's alpha is excess return over the CAPM prediction. Raw return alone is misleading because it ignores the risk taken and any leverage.