Glossary

Excess Returns:
The difference in returns over a specific time period.

Standard Deviation:
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.

Tracking Error:
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.

Beta:
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.

Information Ratio
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.

Sharpe Ratio 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.