Beta is a measure of the funds sensitivity to market movements. A portfolio with a beta greater than 1 is more volatile than the market and a portfolio with a beta less than 1 is less volatile than the market.
Alpha is a measure of the portfolio’s risk adjusted performance. When compared to the portfolio’s beta, a positive alpha indicates better-than-expected portfolio performance and a negative alpha worse-than-expected portfolio performance.
Correlation is the extent to which the returns of different types of investments move in tandem with one another in response to changing economic and market conditions. Correlation is measured on a scale of -1 (negatively correlated) to +1 (completely correlated). Low correlation or negative correlation to traditional stocks and bonds may help reduce risk in a portfolio and provide downside protection.
Overall Capture is the ratio between up capture ratio and down capture ratio. Up Capture Ratio is a measure of a manager’s performance in markets with returns at or above 0% relative to the market (benchmark). Down Capture Ratio is a measure of what percentage of the down market was captured by the manager. An Overall Capture Ratio greater than 100% means the investment went up more than the market (benchmark) when the market had positive returns than the investment went down when the market had negative returns.
Standard Deviation is a calculation used to measure variability of a portfolio’s performance.
Sharpe Ratio uses a fund’s standard deviation and its excess return (the difference between the fund’s return and the risk‐free return of 90‐day Treasury Bills) to determine reward per unit of risk.
Treynor Ratio (arith) is a measurement of Treynor Ratio (arith) efficiency utilizing the relationship between annualized risk-adjusted return and risk. It utilizes “market” risk (Beta). Good performance efficiency is indicated by a high ratio.
Sortino Ratio differentiates harmful volatility from total overall volatility by using downside risk. It is a useful way for investors, analysts, and portfolio managers to evaluate an investment’s return for a given level of bad risk. Since this ratio uses the downside deviation as its risk measure, it addresses the problem of using total risk, or standard deviation, as upside volatility is beneficial to investors. Like the Sharpe ratio, a higher Sortino ratio is better. When looking at two similar investments, the one with the higher Sortino ratio is earning more return per unit of bad risk.
An investor cannot invest directly in an index.
The information on this section of the website (hereinafter referred to as the “Website”) does not constitute an offer or solicitation.
Knowledge Leaders Funds and Knowledge Leaders Capital (herein referred to as “Knowledge Leaders Capital”) reserves the right to deny you access to the Website, or immediately suspend or terminate your access to the Website. Knowledge Leaders Capital reserves the right to change, modify, add or remove portions of these terms at any time for any reason. We suggest that you review these terms periodically for changes. Such changes shall be effective immediately upon posting.
Limitation of Liability and Indemnity
Knowledge Leaders Capital does not warrant the accuracy, adequacy or completeness of the information and data contained herein and expressly disclaims liability for errors or omissions in this information and data. No warranty of any kind, implied, expressed or statutory, is given in conjunction with the information and data. Knowledge Leaders Capital accepts no liability for any loss or damage arising out of the use or misuse of or reliance on the information provided including, without limitation, any loss of profits or any other damage, direct or consequential.
You agree to indemnify and hold harmless Knowledge Leaders Capital and our affiliates, partners and employees of Knowledge Leaders Capital and their affiliates from and against any and all liabilities, claims, damages, losses or expenses, including legal fees and expenses, (together, “Losses”) arising out of your access to or use of this website, save to the extent that such Losses may not be excluded pursuant to relevant law or regulation.
Opinions contained in this website may be changed after issue at any time without notice. The information contained herein is provided for informational purposes only and should not be regarded as an offer to sell or a solicitation of an offer to buy the securities or products mentioned. The investments and strategies discussed in the Website may not be suitable for all investors and are not obligations of Knowledge Leaders Capital or its affiliates or guaranteed by Knowledge Leaders Capital or its affiliates. Knowledge Leaders Capital makes no representations that the contents are appropriate for use in all locations, or that the transactions, securities, products, instruments, or services discussed on this site are available or appropriate for sale or use in all jurisdictions or countries, or by all investors or counterparties. By making available information on the Website, Knowledge Leaders Capital does not represent that any investment vehicle is available or suitable for any particular user. All persons and entities accessing the Website do so on their own initiative and are responsible for compliance with applicable local laws and regulations.
Knowledge Leaders Capital is an investment adviser registered with the Securities and Exchange Commission, and only transacts business in those states where it has filed proper notice if required.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
The copyright, trademarks and all similar rights of this Website and the contents, including all information, graphics, code, text and design, are owned by Knowledge Leaders Capital. Information contained on this website must not be reproduced, copied or redistributed in whole or in part.
Knowledge Leaders Capital may establish links between this Website and one or more websites operated by third parties. Knowledge Leaders Capital has no control over any such other websites, the contents therein or the products/services offered. The existence of any such links shall not constitute an endorsement of, or representation or warranty by Knowledge Leaders Capital regarding such websites, the contents of the websites, the produces or services of the websites or the operators of the websites.