Compares the risk-adjusted performance of a portfolio to a benchmark index.
A measure of the volatility of a portfolio in comparison to a benchmark index.
Represents the percentage of the portfolio’s performance that can be explained by the general movements of a benchmark index.
Measures historical volatility.
Measures risk-adjusted performance by dividing the portfolio’s excess returns by the standard deviation of those returns.
Measure of a portfolio management’s performance against risk and return relative to a benchmark or alternative measure.