The difference in returns over a specific time period.
Gauges the volatility of an investment's returns. The provided analysis calculates the annualized historical standard deviation. The higher the measure, the higher the possible range of future returns.
Measures the volatility of returns between an investment and its benchmark. A high tracking error denotes a greater probability of differences between an investment's returns compared to its benchmark.
A measure of the portfolio's sensitivity to upward and downward movements of the market. Betas greater than 1.00 indicate a portfolio with greater market-related volatility. For example, a Beta of 1.05 indicates an expected excess return of 5% in an up-market and an additional loss of 5% in a down-market.
Evaluates a portfolio manager's performance against risk and return relative to an appropriate benchmark. It is found by dividing the investment's excess returns by the portfolio tracking error.
A historically adjusted risk measure, indicating the excess return per unit of risk. The returns of the portfolio are measured against a "risk-free" asset, the 91-Day Treasury Bill Index. It is calculated by dividing the fund's excess returns by the standard deviation of those returns. The Sharpe Ratio evaluates managers' performance on a volatility-adjusted basis.