From previous posts…
Mean Return (Annualized) – The average daily total return over the stated timeframe, annualized and expressed as a percentage.
Mean Excess Return (Annualized) – The average daily relative total return over the stated timeframe, annualized and expressed as a percentage.
Maximum Return – The highest one-day total return over the stated timeframe, expressed as a percentage.
Minimum Return – The lowest one-day total return over the stated timeframe, expressed as a percentage.
Risk – Expressed as the standard deviation of portfolio returns and is used as a gauge for the portfolio’s expected volatility.
Standard Deviation (Annualized) – A measure of the volatility of the daily total returns over the stated timeframe, expressed as an annualized percentage. It measures how widely spread the daily returns are within the period. Larger values suggest greater risk.
Sharpe ratio – A risk-adjusted measure that calculates the excess return over the risk free rate (3-month yield linked to the currency), per unit of volatility. [(Annualized Mean Return – Risk Free Rate) / Annualized Standard Deviation of Returns]. The higher the Sharpe ratio, the better the portfolio’s historical risk-adjusted performance. Calculated using daily returns over the stated timeframe.
Maximum Drawdown – The largest drop from a peak to a bottom in a sub-period over the stated timeframe. It measures the magnitude of the worst loss an investor could have incurred by investing in the portfolio or benchmark.
Source: Bloomberg