BetaBeta is a measure of the volatility, or systematic risk, of the Fund in comparison to the market as a whole. A ratio of 1 implies the Fund should track the market, greater than 1 implies the Fund should rise and fall by a greater extent than the market, and less than 1 implies the Fund should rise and fall by less than the market.
Gross ExposureThe absolute level of a fund's investments. Gross exposure equals the value of long positions and short positions, and can be expressed either in dollar terms or percentage terms. It is a measure that indicates total exposure to financial markets, thus providing an insight into the investment amount at risk from market fluctuations. The higher the gross exposure, the bigger the potential loss (or gain).
Net ExposureThe percentage difference between a funds long and short exposure. Net exposure is a measure of the extent to which a fund’s portfolio is exposed to market fluctuations.
Maximum DrawdownThe maximum loss from a peak to a trough of a Fund before a new peak is attained. Maximum Drawdown (MDD) is an indicator of downside risk over a specified time period.
Sharpe RatioSharpe RatioThe Sharpe Ratio is a measure for calculating risk-adjusted return, and this ratio has become the industry standard for such calculations. The Sharpe ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return, the performance associated with risk-taking activities can be isolated. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.
Sortino RatioA modification of the Sharpe ratio that differentiates harmful volatility from general volatility by taking into account the standard deviation of negative asset returns, called downside deviation. The Sortino ratio subtracts the risk-free rate of return from the portfolio’s return, and then divides that by the downside deviation. A large Sortino ratio indicates there is a low probability of a large loss.
Standard DeviationIn finance, standard deviation is applied to the annual rate of return of an investment to measure the investment's volatility. Standard deviation is also known as historical volatility and is used by investors as a gauge for the amount of expected volatility.
Value at Risk (VAR)A statistical technique used to measure and quantify the level of financial risk within a firm or investment portfolio over a specific time frame.
VolatilityA statistical measure of the dispersion of returns for a given Fund. Volatility can either be measured by using the standard deviation or variance between returns from that Fund. Commonly, the higher the volatility, the riskier the Fund.
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