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33 Total results for product and free and sample content found

Zephyr

StatFACTs: Pain Ratio

08 May 2017

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

StatFACTs: Alpha

03 May 2017

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

Zephyr

StatFACTs: Information Ratio

03 May 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: Treynor Ratio

03 May 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: Sharpe Ratio

03 May 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: Zephyr K-Ratio

03 May 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.

Zephyr

StatFACTs: Sortino Ratio

03 May 2017

A variation of the Sharpe ratio, the Sortino ratio is a return-versus-risk trade-off metric that uses downside deviation as its measure of risk.

Zephyr

StatFACTs: Value at Risk

03 May 2017

A tail risk metric, Value at Risk (VaR) quantifies the amount of expected loss under rare-but-extreme market conditions.