Beta- A measure of the volatility, or systematic risk of a security or a portfolio in comparison to the overall market. Hence, betas greater than 1 are considered aggressive, while betas below 1 can be described as defensive. A stock with a beta of 1.2 to the S&P 500 rises 1.2% for every 1% rise in the S&P 500.

R-Squared- A statistical measure that represents the per-centage of security's movements that can be explained by movements in a benchmark index. R-squared values range from 0 to 1.00. An R-squared of 1.00 indicates that all movements of a security are completely explained by movements in the index.
Annualized Alpha- The annualized alpha quantifies the extent to which an investment has added value relative to a benchmark.

Correlation- A statistical measure of how two securities move in relation to each other. Correlation coefficients range between -1 and +1. Perfect positive correlation (a correlation coefficient of +1) implies that as one security moves, either up or down, the other security will move in lockstep, in the same direction. Alternatively, a perfectly negatively correlated security will move exactly in the op-posite direction.

Tracking Error-A measure of how closely a portfolio follows an index to which it is benchmarked.

Active Premium- The return on an investment's annualized return minus the benchmark's annualized return.

Information Ratio- A ratio of portfolio returns above the returns of a benchmark (usually an index) to the volatility of those returns. The information ratio (IR) meas-ures a portfolio manager's ability to generate excess returns relative to a benchmark, but also attempts to identify the consistency of the investor. This ratio will identify if a manager has beaten the benchmark by a lot in a few months or a little every month. The higher the IR the more consistent a manager- and consistency is preferred.

 

Semi Deviation– is a measure of downside risk for a portfolio.
Semi deviation is similar to standard deviation, but only accounts
for returns that are below the target or average level (typically set
to 0%.)

Maximum Drawdown– the maximum cumulative loss from a
market peak to the following trough (i.e. “peak-to-valley”). The
maximum drawdown (MDD), is a measure of how severe one’s
losses can be. Large drawdowns usually lead to fund redemptions,
and so the MDD is the risk measure of choice for many hedge
fund professionals – a reasonably low MDD is critical to the success
of any fund.

Historical VaR- In its most general form, the Value at Risk measures
the potential loss in value of a portfolio over a defined period
for a given confidence interval. For example, if a portfolio of
stocks has a one-day 5% VaR of $1 million, there is a 5% probability
that the portfolio will fall in value by more than $1 million
over a one day period, assuming markets are normal and there is
no trading. Informally, a loss of $1 million or more on this portfolio
is expected on one trading day in 20. VaR can also be expressed
as a percentage of portfolio value.

Historical ES- is an alternative to Value at Risk that has greater
sensitivity to expected loss outcomes in extreme events. The
"Expected Shortfall at the 1% level" is the expected return on the
portfolio in the worst 1% of the cases. Compared to VaR, ES provides
a more accurate estimate of the actual loss a portfolio will
suffer when extreme negative events occur. As with Historical
VaR, Historical Expected Shortfall assumes normality of asset return
distributions.

Modified VaR- measures Value at Risk for non-normally distributed
data, such as hedge fund returns.

Modified ES- measures Expected Shortfall for non-normally distributed
data, such as hedge fund returns.