Tag
#benchmark
7 articles
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Buy and Hold vs Strategy Returns: The Baseline Every Backtest Must Beat
Buy and hold return is the benchmark result you would have earned doing nothing. It is the honest baseline for any strategy, and it is a hard bar to clear.
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Relative Strength Explained: Measuring Performance Against a Benchmark
Relative strength compares a security's performance to a benchmark rather than to zero. Here is how the ratio is computed, how it differs from absolute momentum, and its limits.
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Upside and Downside Capture Ratio, Explained
Upside and downside capture ratios measure how much of a benchmark's gains and losses a portfolio picked up. Read as a pair, they describe a portfolio's asymmetry.
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What Is Alpha in Investing? Return Beyond the Benchmark, Explained
Alpha is the return a portfolio earned beyond what its benchmark exposure and risk already explain. It is a residual, and it depends entirely on the benchmark chosen.
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What Is the Information Ratio? Active Return per Unit of Tracking Error
The information ratio divides a portfolio's return above its benchmark by the volatility of that difference. It measures consistency of outperformance, not its size.
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What Is R-Squared in Investing? How Much of a Portfolio the Benchmark Explains
R-squared measures what share of a portfolio's return movement is explained by its benchmark. It runs from zero to one and decides whether alpha and beta mean anything.
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What Is Tracking Error? How Far a Portfolio Drifts From Its Benchmark
Tracking error measures how much a portfolio's returns vary from its benchmark's returns. It is the standard deviation of the return difference, usually stated per year.
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