We are used to the standard types of measure for our core business - ROI, ROA, RONA, etc. etc. When we apply these to innovation, we can get into a bit of trouble. This is not to say innovation shouldn't be held to a rigorous standard for return, but it may be different. A way to get a comprehensive view of the "Return on Innovation" is to view it as a factory (no, this isn't an oxymoron!).
Think of your Raw Materials as your Leading Indicators (I love leading indicators!). These metrics include tangibles (capital, time, software, equipment, etc.), intangibles (talent, motivation, engagement, participation, etc.), innovation structure (open innovation networks, vetting process), innovation strategy (incremental, disruptive), external networks, and systems.
Your Processes are Real Time metrics like resource allocation/collaboration/coordination, speed and performance of the process, efficiency and effectiveness of experimentation, prototyping, R&D productivity, and ideation.
Once your into the Market, your into Trailing Indictors. These include sales growth, more typical ROI, successful launches, and sales and profit from 'new' (as you define 'new').
Lastly, your Results which are tied to your Market Valuation. Customer acquisition, retention, loyalty all play into your value. Metrics like customer profitability, time from concept to adoption, NPV of your innovation portfolio are examples.