Risk Statistics & Ratios | 1 Page Guide

Risk Statistics & Ratios

Risk Statistics & Ratios | 1 Page Guide

Beta
Slope coefficient of the regression of the portfolio on the benchmark or market portfolio.

Upside Beta
Sensitivity of the portfolio to the market (or benchmark) when the market is up or greater than zero.

Downside Beta
Sensitivity of the portfolio to the market (or benchmark) when the market is down or less than zero.

Upside Semi-Variance
Measure of the average squared variation of the portfolio from the cut-off point b when the market (or benchmark) is up or greater than zero.

Downside Semi-Variance
Measure of the average squared variation of the portfolio from the cut-off point b when the market (or benchmark) is down or less than zero.

Upside Semi-Standard Deviation
Square root of the upside semi-variance.

Downside Semi-Standard Deviation
Square root of the downside semi-variance.

Information Ratio
Average excess return divided by the standard deviation of the excess return. It seeks to summarize the mean-variance properties of an active portfolio with a single number.

t-Statistic
The t-statistic for the alpha of the regression of the portfolio on the benchmark or market.

Probability of t
Probability associated with the t-statistics of alpha or the probability that the alpha is not zero.

95th Level of Significance
Number of years it will take for the Jensen Alpha of this size to achieve statistical significance at the 95th percent level given the alpha and standard error of the regression of the portfolio on the benchmark. It is another way of viewing the confidence that the portfolio's alpha is not really zero.

For over 1,000 additional terms and definitions please see our Investment Glossary Guide.

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• Hedge Fund Terms and Definitions

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