361 U.S. Small Cap Equity Correlation Statistics


Detailed Composite Information

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. aSource: © 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.

© 2017 Morningstar. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results.