Ex-post risk statistics

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The following table describes the ex-post risk statistics currently calculated by the FIA engine. If the TrackingErrorReport switch is active, a security-level report showing contribution to tracking error by source of risk (absolute and relative) is also produced.

Statistic Notes Formula
mean Average return over N samples
sigma Standard deviation of return over interval. Also referred to as volatility, sigma.
population_sigma Sample standard deviation of return. Includes Bessel's sample count correction N-1 instead of N.
variance Square of standard deviation of return over interval.
population_variance Square of sample standard deviation of return over interval.
tracking_error Standard deviation of active return (portfolio return minus benchmark return)
information_ratio Active return (portfolio return minus benchmark return) divided by tracking error
covariance Covariance of portfolio return against benchmark return
correlation Correlation of portfolio return against benchmark return
correlation_squared Square of correlation of portfolio return against benchmark return
beta Beta of portfolio against benchmark
omega Omega statistic
jensen_alpha Jensen's alpha
Sharpe ratio Sharpe ratio for portfolio return
Active Sharpe ratio Sharpe ratio for portfolio return against benchmark return
Treynor ratio
upside_volatility
downside_volatility
Skewness A measure of the asymmetry of the distribution of returns about their mean
Kurtosis A measure of the "peakedness" of the distribution of returns

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