Tracking Error: A divergence between the price behavior of a position or a portfolio and the price behavior of a benchmark. R-Squared: A statistical measure that represents the percentage of a strategy’s movements that can be explained by movements in a benchmark index. Beta: A measure of the volatility, or systematic risk, of a portfolio in comparison to the market as a whole. Alpha: A measure of performance on a risk-adjusted basis. Alpha takes the volatility (price risk) of a strategy and compares its risk-adjusted performance to a benchmark index. Treynor Ratio: A ratio that measures returns earned in excess of that which could have been earned on a riskless investment per each unit of market risk. Batting Average: A statistical measure used to measure an investment manager’s ability to meet or beat an index. Upside Capture: A statistical measure of an investment manager’s overall performance in up-markets. Downside Capture: A statistical measure of an investment manager’s overall performance in down-markets. Information Ratio: A ratio of portfolio returns above the returns of a benchmark (usually an index) to the volatility of those returns. Source: © 2015, Investopedia, LLC. All Rights Reserved
Past performance is no guarantee of future results. There is no guarantee that this or any investment strategy will succeed; the strategy is not an indicator of future performance; and investment results may vary.
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