Viewing the Risk Statistics Report

The rate of return earned by the portfolio

The rate of return earned by the index defined for the portfolio you are analyzing. An economic index, i.e. S&P 500 or MSCI EAFE is the most common type.

The arithmetic difference between the account total fund rate of return and the benchmark rate of return.

Relative Return

The geometric difference between the total fund rate of return and the benchmark rate of return

The rate of return from an investment that is considered risk-free or very near risk-free. Risk free investments will vary from country. For example, the risk-free return is that earned on U.S. Treasury bills. In the U.K., it is the returned earned on Euro-deposits.

A measure of the volatility of the account's monthly returns around the mean return for the time period

A measure of the volatility of the index's monthly returns around the mean for the time period

A measure of the risk of deviating from the benchmark's return for the period. A low tracking error indicates that there is a good match between the benchmark and the account, calculated arithmetically.

Relative Tracking Error

A measure of the risk of deviating from the benchmark's return for the period. A low tracking error indicates that there is a good match between the benchmark and the account, calculated geometrically.

A measure of the incremental return earned by an account versus its benchmark relative to the incremental risk assumed versus its benchmark.

The standard deviation of the negative account returns. This measure is derived from at least 12 negative observations and may require a longer period (e.g., 2-3 years) to calculate.

The annualized standard deviation of the negative account returns. This measure is derived from at least 12 negative observations and may require a longer period (e.g., 2-3 years) to calculate.

The standard deviation of the negative results in the difference between account returns and index returns. This measure is derived from at least 12 negative observations and may require a longer period (e.g., 2-3 years) to calculate.

A measure of the return earned per unit of risk. This measure looks at the excess returns of an account relative to the volatility of the account's returns.

A measure of the return earned per unit of risk. This measure looks at the excess returns of an index relative to the volatility of the index's returns.

M squared is the Risk-Adjusted Performance RAP(i) = risk-adjusted rate of return for portfolio i.

The Sortino ratio is the excess return over risk-free rate over the downside semi-variance. This ratio allows investors to go beyond simply looking at excess returns to total volatility, since such a measure does not consider how often the price of the security rises as opposed to how often it falls.

The Sortino ratio is the excess return over risk-free rate over the downside semi-variance. This ratio allows investors to go beyond simply looking at excess returns to total volatility, since such a measure does not consider how often the price of the security rises as opposed to how often it falls.

A risk-adjusted return measure that provides excess return per unit of risk where risk is defined as systematic risk (beta).

A measure that involves an ordinary least squares regression return to calculate risk-premium for an account's return against its benchmark. A positive alpha means the account performed better than its benchmark in risk-adjusted terms. A negative means the opposite.

A measure that uses an ordinary least squares regression return to compute the relative volatility of an account against its benchmark. A relative volatility measure of 1.0 means equal volatility as the benchmark, greater than 1.0 means more volatile, and less than 1.0 means less volatile.

A measure that varies from 0.0 (meaning no correlation between the benchmark and the account returns) to 1.0 for complete agreement between the two. This measure is sometimes referred to as the "Coefficient of Determination".

The up percentage ratio is a measure of the number of periods that the investment out performed the benchmark when the benchmark was up, divided by the number of periods that the benchmark was up. The larger the ratio the better.

The down percentage ratio is a measure of the number of periods that the investment out performed the benchmark when the benchmark was down, divided by the number of periods that the benchmark was down. The smaller the ratio the better.