Page 7 - QuantScan-User Guide

Professional investors only
Performance and risk – Efficiency dashboard
Annualized return is the geometric mean of periodic returns.
Annualized volatility is the standard deviation of the annualized return.
Annualized alpha is the annualized excess return of the fund versus the benchmark. Good active management is characterized by a positive alpha.
Annualized tracking error is the standard deviation of the annualized alpha.
Information ratio is the ratio of annualized alpha to the annualized tracking error. A ratio above 0.5 is generally considered as indication of good active management.
Maximum drawdown is the maximum peak- to-through decline before a new peak is attained.
Bad date is the date of the peak of the maximum drawdown.
Recovery days is the number of days between the through of the maximum drawdown and a new peak.
Value at risk is the worst historical return with 95 % confidence. It is calculated by putting all returns in order from worst to best and taking the lowest 5 % of the distribution (rounded up).
Expected shortfall is the mean of the ordered returns used in the calculation of the value at risk.
Beta indicates the fund's volatility compared to the benchmark volatility. A high beta indicates higher volatility of the fund versus the benchmark.
Capture is the proportion of the cumulative fund return to the cumulative benchmark return. Good active management shows an average capture above (below) 1 in bull (bear) markets.
Annualized riskfree rate is the reference interest rate for a highly liquid and secure investment (variable input).
Annualized passive return is the gain (loss) expected by the Capital Asset Pricing Model.
Annualized Jensen' s alpha is the gain (loss) above what is expected by the Capital Asset Pricing Model.
Sharpe ratio = (annualized return - annualized riskfree rate) / annualized volatility. The higher the ratio, the better the remuneration of risk.
Treynor ratio = (annualized \return - annualized riskfree rate) / beta in all markets. The higher the ratio, the better the remuneration of risk.
Sortino ratio is the Sharpe ratio in case of downside deviations. The higher the ratio, the better the remuneration of « bad » risk.
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