## Omega

Omega compares the count and scale of individual return points above a minimum accepted return threshold (MAR) against the count and scale of individual return points below the MAR threshold.

## K-Ratio

The Zephyr K-Ratio quantifies two things: the appreciation of wealth and the consistency of that wealth creation.

Like many statistical ratios, the K-Ratio is a return-vs.-risk tradeoff metric, with the numerator being an expression of return and the denominator a measure of risk.  The numerator, the measure of return, is the slope of a best-fit regression line superimposed over a cumulative return series.  The steeper the slope, the larger the number, the faster the rate of appreciation of wealth.

## Expected Cumulative Return

The Expected Cumulative Return is the Expected Return compounded over T  periods. where: Expected Cumulative Return Expected Return
T = number of periods

## Expected Risk (Standard Deviation)

The Expected Risk is the standard deviation of the Expected Return. As the time horizon increases, the Expected Risk moves towards zero. where: Expected Risk Expected Return
E[R] = Portfolio Return

## Expected Return (Annualized)

The Expected Return (Annualized) is the annual Portfolio Return adjusted for variance drain over T periods. For periods longer than one year, the Expected Return is less than the annual Portfolio Return. where: Expected Return
E[R] = Portfolio Return
V = variance of portfolio
T = number of periods

## Turnover

Turnover shows the total one-way turnover to move from the current portfolio to the efficient portfolio. That is, the proportion of the current portfolio that must be sold.

## Tracking Error

Tracking Error (also known as 'active risk') is the annualized standard deviation of excess return to the benchmark. Like R-Squared, Tracking Error is calculated using the common date range of the benchmark and the weighted portfolio return series. where: Tracking Error
std = standard deviation

## R-Squared

The R-Squared is the correlation squared of the benchmark to a weighted portfolio return series. Correlation Squared is the classical statistical method for measuring how closely related the variances of two series are. R-Squared is calculated using the common date range of the benchmark and the weighted portfolio return series. where:

R2 = R-Squared

## Portfolio Risk

This is the one year standard deviation of the portfolio. where: Portfolio Risk
wi = weight of asset i
wj = weight of asset j correlation of asset i with asset j

## Portfolio Return

This is a one year portfolio return. where:

E[R] = Portfolio Return
wi = weight of asset i
E[Ri] = Forcast Return of asset i
n = number of assets

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