Price/Earnings (P/E) Ratio
The weighted average of the P/E Ratios of the stocks in the Fund's portfolio. The P/E Ratio of a stock is calculated by dividing the current price by forecasted twelve-month earnings per share. |
Price/Book (P/B) Ratio
The weighted average of the P/B Ratios of the stocks in the Fund's portfolio. The P/B Ratio of a stock is calculated by dividing the current price by book value per share. Book value is total company assets minus total liabilities. |
R-Squared (R2)
The percentage of the Fund's three-year return that is explained by movements in its benchmark index. An R2 of 1.00 would indicate that all of the Fund's return is explained by movements in the benchmark return. |
Alpha
A measure of the Fund's expected performance versus the benchmark, adjusted for relative risk. Positive alpha indicates that the Fund has outperformed its benchmark for the three-year period on a risk-adjusted basis. |
Beta
A measure of the Fund's volatility versus the benchmark. A beta of 1.10 indicates that the Fund can be expected to perform 10% better than its benchmark when the benchmark is rising and 10% worse when the benchmark is falling. Conversely, a beta of 0.85 indicates Fund performance 15% worse when the benchmark is rising and 15% better when the benchmark is falling. A low beta is not always indicative of low risk when the Fund also has a low R2. When a Fund has a low beta and R2, the benchmark utilized may not be appropriate given the Fund's investment style. |
Sharpe Ratio
A measure of the Fund's return per unit of total risk. A Sharpe Ratio of 1.00 indicates that the Fund's three-year return is proportional to the risk taken in achieving that return. |
Standard Deviation
A measure of the historical volatility of the Fund's returns. The higher the standard deviation, the greater the volatility of the Fund's returns over the three-year period. |
Weighted Average Duration
The weighted average of the durations of the debt securities in the Fund's portfolio. Duration is a measure of price sensitivity relative to changes in interest rates. For example, if a bond had a duration of four years, a 1% increase in U.S. Treasury interest rates could be expected to result in a 4% decrease in the value of the bond. Therefore, portfolios with longer durations are typically more sensitive to changes in interest rates. |