Measuring Risk-adjusted return

[leeryguy]

I am looking for some help in measuring the risk adjusted return of an options arbitrage portfolio and, separately, an equity mean reversion portfolio.

What is the benchmark? S&P 500?

Now, assuming these are performed in a market-making environment with greater leverage/ haircut benefits, would that change anything?

 

[yip1997]

Quote from leeryguy:

Now, assuming these are performed in a market-making environment with greater leverage/ haircut benefits, would that change anything?

No. Almost all hedge funds use leverage and they use the same measure (of your choice of course).