A Guide to StatFACTS

Investment analysis can be easy. Zephyr Associates has developed the StatFACTS to help you understand the plain-English meanings and practical applications of key performance statistics. Moreover, Zephyr has organized the statistics into a logical, useful framework. As Albert Einstein purportedly said, “Everything should be made as simple as possible, but not simpler.”

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What Stats Measure

Despite a seemingly overwhelming number of metrics, virtually every statistic falls into one of three categories:

  • Return: the higher the better
  • Risk: the lower the better
  • Return vs. risk trade-off: the higher the better

What Does One Mean By Risk?

Risk can be broken into four broad categories of measurement:

  • Volatility: volatility risk measures how uncertain or unpredictable an investment’s returns are
  • Benchmark-Relative: benchmark-relative risk measures performance of managers against an appropriate passive index
  • Capital preservation: also known as drawdown risk, capital preservation risk is simply the risk of losing money in an investment
  • Tail: sometimes called “black swan” risk, tail risk is defined as low probability, high impact events

Zephyr StatMAP

As a part of the StatFACTS series, Zephyr also introduces the StatMAP. The StatMAP offers a way to visualize each statistic in terms of metric versus risk type. Click any StatFACT title in the StatMAP grid below for more information.

 
 
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