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Performance
Value Added Monthly Index (VAMI)
Average Return (Mean)
Average Gain (Gain Mean)
Average Loss (Loss Mean)
Compound Return
Annualized Compound Return
Average Calculation
Risk Analysis
Standard Deviation
Annualized Standard Deviation
Gain Standard Deviation
Loss Standard Deviation
Downside Deviation
Semi Deviation
Skewness
Kurtosis
Drawdown
Risk/Return Ratios
Sharpe Ratio
Sortino Ratio
Calmar Ratio
Sterling Ratio
Gain to Loss Ratio
$ Profit to Loss Ratio
Losing Streak
Benchmark Analysis
Beta
Alpha
Annualized Alpha
Correlation Coefficient (r)
Coefficient of Determination (r
2
)
Standard Error
T-Stat
Tracking Error (Annualized)
Treynor Ratio
Jensen Alpha
Active Premium
Information Ratio
Benchmark Ratios
Up Capture Ratio
Down Capture Ratio
Up Number Ratio
Down Number Ratio
Up Percentage Ratio
Down Percentage Ratio
Percent Gain Ratio (% Gain)