Rev. Date January 22, 2020

Historical Risk Statistics is an analysis block that can be added to any custom analysis template, and is also present when running comparisons on multiple investments and/or portfolios. It includes the following standard risk measures that can be used to better understand the behavior of an investment or portfolio:

Beta to Benchmark: The investment’s or portfolio’s sensitivity to its benchmark. Note: this metric is only available if a benchmark is selected.

Downside Capture: The ratio of the average returns of the investment to the average returns of the benchmark when benchmark returns were negative.

Upside Capture: The ratio of the average returns of the investment to the average returns of the benchmark when benchmark returns were positive.

VaR (95%): The “Value at Risk” of the investment or portfolio is the estimated maximum amount the investment or portfolio might lose over a one month period based on historical returns at a 95% confidence level.

Skewness: The degree of asymmetry in the distribution of returns for an investment or portfolio. For example, if the distribution had more values in the right side of the distribution (compared to a normal distribution), the investment or portfolio will have a negative skewness.

Kurtosis: The degree of extreme values in the distribution of returns for an investment or portfolio. For example, if the distribution had more values in the tails of the distribution (relative to a normal distribution), it will have a positive kurtosis. 

Sortino Ratio: A risk-adjusted performance measure calculated by dividing the excess arithmetic return for the investment or portfolio (relative to the risk-free rate) by its downside volatility, or volatility when excess returns were negative.[1]

Calmar Ratio: A risk-adjusted performance measure calculated by dividing the geometric annualized return for the investment or portfolio by its maximum drawdown over the most recent 3 year period.

[1] The risk-free rate is the average 3 month sovereign benchmark yield in the user’s base currency area.

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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