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What are relative metrics and how are they computed?
What are relative metrics and how are they computed?
Alexa Catalano avatar
Written by Alexa Catalano
Updated this week

Rev. Date June 5, 2023

You can set a benchmark for a portfolio or investment and click the “Relative to Benchmark” toggle to see relative performance metrics.

In Studio or Report Lab, select “Individual Benchmark” to compute relative metrics with respect to each subjects’ assigned benchmarks, and select “Common Benchmark” to compute relative metrics for all subjects against the same benchmark.

For performance analysis, there are the following relative metrics:

  • Excess return

  • Tracking error

  • Information ratio

  • Max under-performance

For definitions of these metrics, please refer to the “Relative Performance Metrics” section of the Metric Definitions article.

All other analytics within Analysis are available on a relative to benchmark basis where applicable, including metrics within the Historical Risk Statistics table, cumulative excess returns, rolling excess returns, rolling tracking error, rolling information ratio, relative correlations, active factor analyses, residual excess risk and returns, Scenario Analysis, etc.

For factor analysis, there are the following relative metrics all computed off of the excess return of the portfolio.

  • Active factor exposure

  • Active factor risk

  • Active factor return


This document highlights certain aspects of this feature. As an overview, it does not discuss all material facts or assumptions. Please see Important Disclosure and Disclaimer Information.

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