Guide To Investment Statistics

eVestment Guide To Investment Statistics

The eVestment Guide to Investment Statistics will assist you in gaining a better understanding of how to derive meaningful conclusions from investment statistics.

 Download the Full Investment Statistics Guide PDF

Table of Contents

Click on any item below to jump to that section:

Using Statistics to Understand Return Characteristics
Using Standard Deviation
Assessing Skewness and Kurtosis in the Return Distribution
Predicting Returns using Monte Carlo Simulation
Risk Statistics and Risk-adjusted Statistics
Standard Deviation
Sharpe Ratio
Sortino Ratio
Omega Ratio
Drawdown Analysis
Calmar Ratio
Sterling Ratio
Comparing Risk Statistics and Risk-Adjusted Statistics
Correlation and Regression Analysis
The Correlation Coefficient (R)
Alpha and Beta
The Coefficient of Determination (R2)
Benchmark Ratios
Peer Group Analysis
Top Quartile Performance
Bottom Quartile Performance
Manager Search Criteria
Composite Returns: Portfolio Construction, Optimization, Simulation
Portfolio Construction
Fat Tail Analysis, Risk Budgeting, Factor Analysis & Stress Testing
Fat Tail Analysis
The Differences between Normal VaR, Modified VaR and “Fat-Tailed” VaR
ETL (Expected Tail Loss)
ETR (Expected Tail Return)
STARR Performance
Rachev Ratio
Marginal Contribution to Risk (MCTR) / Marginal Contribution to Expected Tail Loss (MCETL)
Percentage Contribution to Risk (PCTR) / Percentage Contribution to Expected Tail Loss (PCETL)
Excess Kurtosis
Implied Return
Risk Budgeting
Factor Analysis & Factor Contribution to Risk
Stress Testing
Measuring Private Equity Performance
Understanding IRR as a Key Measure of Performance
Predicting Repeatability of Success
Comparing Private Equity Returns to Public Markets
Appendix I: Key Investment Statistics
Absolute Return Measures
Monthly Return (Arithmetic Mean)
Average Monthly Gain (Gain Mean)
Average Monthly Loss (Loss Mean)
Compound Monthly Return (Geometric)
Absolute Risk-Adjusted Return Measures
Sharpe Ratio
Calmar Ratio
Sterling Ratio
Sortino Ratio
Absolute Risk Measures
Monthly Standard Deviation
Annualized Standard Deviation
Gain Standard Deviation
Loss Standard Deviation
Downside Deviation
Maximum Drawdown
Gain/Loss Ratio
Relative Return Measures
Up Capture Ratio
Down Capture Ratio
Up Number Ratio
Down Number Ratio
Up Percentage Ratio (Proficiency Ratio)
Down Percentage Ratio (Proficiency Ratio)
Relative Risk-Adjusted Return Measures
Annualized Alpha
Treynor Ratio
Jensen Alpha
Information Ratio
Relative Risk Measure
Tail Risk Measures
Value at Risk
Modified Value at Risk
Expected Tail Loss
Modified Expected Tail Loss
Starr Ratio
Rachev Ratio
Holdings Analysis Measures
Active Share
Peer Share
Active Share Efficiency
Peer Share Efficiency
Private Equity Performance Calculations
Money Multiples
Additional Private Equity Metrics