Ex post risk report
From Flametree Technologies
The following table describes the ex-post 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 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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