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33 Total results for product and free and sample content found

Zephyr Portfolio Analytics

StatFACTs: Pain Ratio

StatFACTs: Pain Ratio

A proprietary return-versus-risk trade-off metric, the pain ratio compares the added value over the risk-free rate against the depth, duration, and frequency of losses.

Zephyr Portfolio Analytics

StatFACTs: Pain Index

Zephyr

A proprietary risk metric, the pain index quantifies the capital preservation tendencies of a manager or index. It measures the depth, duration, and frequency of periods of losses.

Zephyr Portfolio Analytics

StatFACTs: Treynor Ratio

StatFACTs: Treynor Ratio

A return-versus-risk tradeoff metric, the Treynor ratio measures the added value per unit of market risk, with beta defined as risk.

Zephyr Portfolio Analytics

StatFACTs: Sharpe Ratio

StatFACTs: Sharpe Ratio

The most famous return-versus-risk measurement, the Sharpe ratio represents the added value over the risk-free rate per unit of volatility risk.

Zephyr Portfolio Analytics

StatFACTs: Information Ratio

StatFACTs: Information Ratio

A benchmark-relative return-versus-risk metric, the information ratio measures the excess return against the benchmark divided by tracking error, where tracking error is a measure of consistency.

Zephyr Portfolio Analytics

StatFACTs: Tracking Error

StatFACTs: Tracking Error

Also known as the standard deviation of excess returns, tracking error measures how consistently a manager outperforms or underperforms the benchmark.

Zephyr Portfolio Analytics

StatFACTs: Standard Deviation

StatFACTs: Standard Deviation

Standard deviation measures how closely returns track their long-term average. Standard deviation measures volatility risk.

Zephyr Portfolio Analytics

StatFACTs: Up / Down Capture

StatFACTs: Up / Down Capture

Also known as the standard deviation of excess returns, tracking error measures how consistently a manager outperforms or underperforms the benchmark.