Ex post risk report
From Flametree Technologies
The following table describes the expost risk statistics currently calculated by the FIA engine.
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 N1 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 
