Alpha: a measure of the difference between a portfolio’s actual returns and its expected performance, given its level of risk as measured by beta.
Annual Turnover (12-mo Trailing): the percentage rate at which a mutual fund or an exchange-traded fund (ETF) replaces its investment holdings on a yearly basis. Portfolio turnover is the comparison of assets under management (AUM) to the inflow, or outflow, of the security’s holdings. The figure is useful to determine how actively the fund changes underlying position in its holdings.
Beta: a measure of systematic risk with respect to a benchmark. Systematic risk is the tendency of the value of the fund and the value of benchmark to move together.
Current Dividend Yield: the dividend yield is the ratio of a company’s annual dividend compared to its share price.
Current P/E (12-mo Forward): price/earnings ratio (P/E) can act as a gauge of the fund’s investment strategy in the current market climate, and whether it has a value or growth orientation.
Downside Capture Ratio: measures manager’s performance in down markets. A down-market is defined as those periods (months or quarters) in which market return is less than 0.
Downside Deviation: a measure of downside risk that focuses on returns that fall below a minimum threshold or minimum acceptable return (MAR). It is used in the calculation of the Sortino Ratio, a measure of risk-adjusted return.
Excess Return: investment returns from a portfolio that exceed the benchmark.
Information Ratio: is a measurement of portfolio returns beyond the returns of a benchmark, usually an index, compared to the volatility of those returns. The benchmark used is typically an index that represents the market or a particular sector or industry.
Jensen’s Alpha: a risk-adjusted performance measure that represents the average return on a portfolio or investment, above or below that predicted by the capital asset pricing model (CAPM), given the portfolio’s or investment’s beta and the average market return. This metric is also commonly referred to as simply alpha.
Peer Group (5-95%); Separate Accounts/CITs – U.S. Large Blend: shows data for two standard deviations from mean for peer group, then breaks down into quartiles. This is done so that extreme outliers in both directions are intentionally excluded to show a more realistic comparative group.
R-Squared: a statistical measure that represents the proportion of the variance for a dependent variable that’s explained by an independent variable or variables in a regression model.
Return: all returns for periods greater than one year are annualized with the exception of cumulative return which is cumulative for the specified time period.
Sharpe Ratio: calculated by using standard deviation and excess return to determine reward per unit of risk. The higher the Sharpe Ratio, the better the fund’s historical risk-adjusted performance.
Standard Deviation: a statistical measurement of dispersion about an average, which depicts how widely the returns varied over a certain period of time. Investors use the standard deviation of historical performance to try to predict the range of returns that are most likely for a given fund.
Top Contributors: utilizing actual performance for the composite during a time period, time-weighted returns are used to illustrate bottom five holdings on a percentage basis.
Top Detractors: utilizing actual performance for the composite during a time period, time-weighted returns are used to illustrate top five holdings on a percentage basis.
Tracking Error: a measure of the volatility of excess returns relative to a benchmark.
Upside Capture Ratio: measures a manager’s performance in up markets relative to the market (benchmark) itself. It is calculated by taking the security’s upside capture return and dividing it by the benchmark’s upside capture return.
US SA Large Blend: The Morningstar Separately Managed Account (SMA) peer group which includes managers in a comparable category.
