Quantitative Analysis

Alpha

A measure of a mutual fund’s risk relative to the overall market. It reflects the difference between a mutual fund’s actual performance and the performance expected based on risk level taken by the fund’s manager. A fund that produced the expecte

Beta

Beta is value that reflects the amount of risk of a single or combined group of securities measured against the market as a whole. A beta value of 1 suggest that the security or portfolio will move in line with the overall market. A beta of less than 1 suggets that the security will be less volatile

Beta2

Beta2 is a measure of the systematic risk of a security, which uses the Moving Average of the Rate of Change in its calculation rather than the Simple Rate of Change. A security or portfolio with a Beta2 value of greater than 1.0 is classified as more volitile than the market and a reading of less t

Jensen Alpha

Developed by Michael Jensen, Jensen Alpha measures the performance of a investment in relation to a benchmark. Jensen’s Alpha was initially used in the 1970′s to evaluate mutual fund managers. Positive Alphas suggest strong performance while negative Alphas reflect weak performance. See