Statistics & Calculations

Below are links to the definitions of statistics and calculations that are used in StyleADVISOR (AllocationADVISOR statistics coming soon). 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	Correlation Squared
Cumulative Excess Return	Cumulative Return
Downside Deviation	Downside Standard Deviation
Drawdown	Exponential Weighting
In-Sample vs. Out-of-Sample	Information 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	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	Variance
Variance Explained	Volatility of Rank
Zephyr Defined Universes

Resources

Statistics & Calculations

StyleADVISOR