Town of Berlin-4Q19-QIR
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The Combined Firm:
A Sum Greater than its Parts
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Factset,Russell
FactSet,BloombergBarclays,iShares
The trend of the style plots allows the viewer
A negative down market capture ratio indicates
An R-squared of 100 indicates that there is perfect
.
formed if the market had experienced no gain or
the closer the portfolio returns have been to its risk
A line drawn from T-bills and through the benchmark separates
The more a portfolio's returns vary from its average, the higher the
The greater the Sharpe Ratio, the better
The lower the tracking error,
The lower a portfolio's down market capture ratio, the better the manager protected capital
.
The higher a portfolio's up market capture ratio, the better the manager capitalized on a rising market.
Thus, it can be thought of as how the portfolio would have p
beta of more than one suggests more volatility than the market, while a beta of less than one indicates less volatility than the
eward, as measured by total return, is plotted along the horizontal axis.
This graph shows a risk/reward relationship of the portfolio and its relative benchmark. Risk, or volatility as measured by standard
The greater the information ratio, the better
The smaller sized plots represent earlier time periods, while the larger plots represent the more recent observations.
measure of a portfolio's performance in down markets.
A
measure of a portfolio's performance in up markets.
A
railing return and calendar year returns reveal how the portfolio has performed versus a peer group of portfolios of similar style.
gauge of risk that measures the spread of the difference of returns from their average.
T
A
Measures a portfolio's excess return per unit of risk. The ratio is used to measure the value added from the information a manager possesses, adjusted for the risk
The standard deviation of the portfolio's residual (i.e. excess) returns.
Reward per unit of risk, calculated using standard deviation and excess return.
measure of return that cannot be attributed to the market.
A
Aggressively managed portfolios would be expected to have higher tracking errors than portfolios with a more conservative investment style.
Indicates the level of risk relative to the market. A
Alpha is value added over the benchmark; the higher the alpha, the better.
Alpha - loss. Batting Average - Beta - market. Beta is also referred to as systematic risk.Down Market Capture Ratio - during a market decline. Ex: a value of 90 suggests that a manager's
losses were only 90% of the market loss when the market was down. that a manager's returns rose while the market declined.Information Ratio - taken in making active investment decisions.
Performance vs Peers - R-Squared - correlation between the movements of a portfolio and its benchmark, while an R-squared of 0 indicates that there is no correlation between the portfolio's
movements and the benchmark's movements.Return vs Standard Deviation Scatterchart - deviation, is plotted along the horizontal axis. RSharpe Ratio - Standard Deviation - standard deviation.Style
Map - to identify style drift, or lack thereof. Tracking Error - index. Up Market Capture Ratio - Ex: a value of 110 suggests the manager captured 110% of the market when the market
was up. A negative up market ratio indicates that a manager's returns fell while the market rose.
Glossary
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