Statistics & Calculations

Below are links to the definitions of statistics and calculations that are used in StyleADVISOR  and AllocationADVISOR. All of these statistics and a few more are explained in depth in the User Manual.

StyleADVISOR

Adjusted R-Squared
Alpha
Annualize Results: Less Than One Year
Annualized Excess Return
Annualized Return
Annualized Standard Deviation
Average Up and Down Returns
Batting Average
Benchmark Turnover
Best and Worse Statistics
Beta
Conditional Value at Risk
Correlation Squared
Cumulative Excess Return
Cumulative Return
Downside Deviation
Downside Standard Deviation
Drawdown
Excess Return Drawdown
Exponential Weighting
In-Sample vs. Out-of-Sample
Information Ratio
K-Ratio
Kurtosis
Manager Style Graph Style Points
Market Benchmark: Adjust for Beta
Market Beta: No Limit
Market Line
Maximize Adjusted R2
Maximum Drawdown
Mean
Minimize AIC
Minimize Cp
Minimize SC
Model Selection
Number of Up & Down Periods
Omega
Pain Index
Pain Ratio
Percentile Series
R-Squared
Rank Series
Relative Cumulative Excess Return
Sharpe Ratio
Significance Level
Single Window vs. Rolling Window Style Analysis
Skewness
Sortino Ratio
Standard Deviation
Standard Deviation of Excess Return
Style Analysis
Style Drift
T-Statistic
Treynor Ratio
Up and Down Capture
Value at Risk
Variance
Variance Explained
Volatility of Rank
Zephyr Defined Universes
 
 

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