Fort Walton Beach Council agenda — 05-26-09 regular — reading text

result is the absolute rate of return per unit of risk. The higher the value, the better the product' s historical nsk adjusted performance 1A measure of the difference between a portfolio' s actual retums and its expected performance given Alpha : its level of risk as measured by beta It is a measure of the portfolio' s historical performance not jexplained by movements of the market: or a portfolio' s non- systematic return. Beta A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of a portfolio' s no n- divers ifiable or systematic risk. Similar to Sharpe ratio, but focuses on beta rather than excess risk (standard deviation). Represents Treynor Ratio It_he Excess rate of retum over the risk free rate divided by the beta. The result is the absolute rate of return per unit of risk. The higher the value. the better the product' s historical risk -adjusted performance. Information Ratio Measured by dividing the excess return by the tracking error. The higher the Information Ratio. the more value -added contribution by the manager. A measure of the standard deviation of a portfolios performance relative to the performance of the Tracking Error benchmark index. Excess Return Arithmetic difference between the managers return and the index return over a specified time period. The ratio of average portfolio return over the benchmark during periods of positive benchmark return. Up Market Capture Higher- values indicate better product performance. Down Market Capture The ratio of average portfolio return over the benchmark during periods of negative benchmark return Lower values indicate better product performance. TheThe batting average of the manager vs. a benchmark is the ratio between the number of periods Batting Average the manager outperforms the benchmark and the total number of periods. A measure similar to standard deviation.. but focuses only on the negative movements of the return Downside Risk series It is caic.ulated by taking the standard deviation of the negative quarterly set of returns The higher the factor the riskier the product. The percentage of a portfolio' s performance explained by the behavior of the appropriate benchmark. R- Squared ; High R- Square means a higher correlation of the portfolios performance to the appropriate bent hmark. Source Zephyr StyteAd'visor Created with Zephyr StyleADVISOR. Manager returns supplied by eVestment Alliance  voGOA- o rcitc tj risif ra le" t firvr iraa,e"' Zi i. r ,: et cr, at 1 ca r st x t t a. ,:  xx x r• t UU U oo o 00 4 N AA A ww w MM M C3C3 107107 107 P4P4 P4' '' GG G vv v OO O 44 4  i T°^ 12- Uri N Ct3 c a v O A IJ J 0  V% C..) 14 I tzo 0 all Ut o 1 m C4) it CAI) rt c% l 1; O CA to O of rot n z CA 141) on Q QJ it lift t6) 0. rod v"A t- 6) . 0 OVA v Loa 0 lot CA Nib A I*. 14 tiO, I erg)  ptpt II 00 O o UU 00 I, 00 00 Q QQ 010 p R- A OO dd MM r+ OO r+ HH AA• • 00 CC 00 AA CIACIA OVAOVA oo oo AA• • U1 o aa oo OO yy pp VV 0 Oro aa a a ii 00 0 aa a a w IEV'IEV' HH oo ArnArn oo UU UU i M WW A O v cy  J i... i a 0 Piz ti 2! 0 a N 0 5, w 14 IC ti Ala N 0 Q v P w Con Con 0 o 0 ki w o 0 N 0 v 0 o 0, 4 o w con CZ) w Q4 ti 0 0 0 con w w o Wo  C cJ: t/ 1. t O vA O to A v s Ln It . U. MAO