Metrics Explainer

Understand how each metric measures performance, risk, and consistency.

Active Return

Active Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Active Risk

Active Risk meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Alpha

Alpha meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Annualized Return

Annualized Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Average Drawdown

Average Drawdown meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Average Monthly Return

Average Monthly Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Batting Average

Batting Average meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Best Month Return

Best Month Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Best Quarter Return

Best Quarter Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Best Rolling 1Y Return

Best Rolling 1Y Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Best Rolling 5Y Return

Best Rolling 5Y Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Best Year Return

Best Year Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Beta

Beta meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Beta-Adjusted Return

Beta-Adjusted Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

CAGR (Compound Annual Growth Rate)

CAGR (Compound Annual Growth Rate) meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Calendar Year Returns

Calendar Year Returns meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Calmar Ratio

Calmar Ratio meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Cash Exposure

Cash Exposure meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Conditional VaR (Expected Shortfall)

Conditional VaR (Expected Shortfall) meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Consistency Score

Consistency Score meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Correlation to Benchmark

Correlation to Benchmark meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Down Capture Ratio

Down Capture Ratio meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Downside Deviation

Downside Deviation meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Drawdown Duration

Drawdown Duration meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Drawdown Frequency

Drawdown Frequency meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Expectancy

Expectancy meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Gain-to-Pain Ratio

Gain-to-Pain Ratio meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Hit Rate

Hit Rate meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Information Ratio

Information Ratio meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Kurtosis

Kurtosis meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Max Consecutive Losses

Max Consecutive Losses meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Max Drawdown

Max Drawdown meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Median Monthly Return

Median Monthly Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Median Rolling 3Y Return

Median Rolling 3Y Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Negative Months

Negative Months meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Net-of-Fees Return

Net-of-Fees Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Omega Ratio

Omega Ratio meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Portfolio Turnover

Portfolio Turnover meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Positive Months

Positive Months meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Profit Factor

Profit Factor meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

R-squared

R-squared meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Return Dispersion

Return Dispersion meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Rolling 1-Year Return

Rolling 1-Year Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Rolling 3-Year Return

Rolling 3-Year Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Rolling 5-Year Return

Rolling 5-Year Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Rolling Drawdowns

Rolling Drawdowns meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Rolling Sharpe

Rolling Sharpe meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Rolling Volatility

Rolling Volatility meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Sector Concentration

Sector Concentration meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Sharpe Ratio

Sharpe Ratio meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Skewness

Skewness meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Sortino Ratio

Sortino Ratio meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Tail Risk Score

Tail Risk Score meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Time to Recovery

Time to Recovery meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Top-10 Concentration

Top-10 Concentration meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Total Return

Total Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Tracking Error

Tracking Error meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Treynor Ratio

Treynor Ratio meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Ulcer Index

Ulcer Index meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Up Capture Ratio

Up Capture Ratio meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Value at Risk (VaR)

Value at Risk (VaR) meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Volatility (Standard Deviation)

Volatility (Standard Deviation) meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Win/Loss Ratio

Win/Loss Ratio meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Worst Month Return

Worst Month Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Worst Quarter Return

Worst Quarter Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Worst Rolling 1Y Return

Worst Rolling 1Y Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Worst Rolling 3Y Return

Worst Rolling 3Y Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Worst Rolling 5Y Return

Worst Rolling 5Y Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

Worst Year Return

Worst Year Return meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.

XIRR (Money-Weighted Return)

XIRR (Money-Weighted Return) meaning for PMS schemes, definition, interpretation, pitfalls, and how to use it in scheme comparisons.