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33 Total results for product and free and sample content found

Zephyr

StatFACTs: Treynor Ratio

14 Aug 2017

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

Zephyr

StatFACTs: Information Ratio

14 Aug 2017

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

StatFACTs: Sharpe Ratio

14 Aug 2017

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

StatFACTs: Tracking Error

10 Aug 2017

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

Zephyr

StatFACTs: Standard Deviation

10 Aug 2017

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

Zephyr

StatFACTs: Up / Down Capture

09 Aug 2017

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

Zephyr

StatFACTs: Alpha

09 Aug 2017

Alpha measures the risk-adjusted added value an active manager adds above and beyond the passive benchmark.

Zephyr

StatFACTs: K-Ratio

09 Aug 2017

A return-versus-risk statistic, the Zephyr K-ratio measures the rate at which wealth is created and the consistency of the path of wealth creation.