Beta is a measure of a fund’s sensitivity to market movements as defined by its index.
Correlation is a measure of the strength of the relationship between a fund and its index.
Information Ratio is a ratio of portfolio returns above the returns of a benchmark (usually an index) to the volatility of those returns.
R-Squared is a statistical measure that represents the percentage of a fund or security's movements that can be explained by movements in a benchmark index.
Sharpe ratio is a risk-adjusted measure calculated using standard deviation and excess return to determine reward per unit of risk.
Sortino is a modification of the Sharpe ratio that differentiates harmful volatility from general volatility by taking into account the standard deviation of negative asset returns, called downside deviation.
Tracking error is the standard deviation of the difference between the returns of an investment and its benchmark.
Upside and downside capture measures a manager’s ability to generate excess return above the benchmark return in up markets and retain more of the excess return in down markets. The upside/downside capture ratio is the Fund’s up/down market return divided by the index’s up/down market return and equals the linked returns for all quarters in which the index return was greater/less than zero.
Volatility or standard deviation is a statistical measure of distribution around an average, which depicts how widely returns varied over a certain period of time. When a fund has a high standard deviation, the predicted range of performance is wide, implying greater volatility.