Portfolio Characteristics:

% of Portfolio/Index Excluded – Percentage of companies excluded from P/E calculations due to the company’s negative earnings.

Active Share – A measure of the percentage of stock holdings in a manager’s portfolio that differ from the benchmark index. calculated by taking the sum of the absolute value of the differences of the weight of each holding in the manager\’s portfolio versus the weight of each holding in the benchmark index and dividing by two.

Debt to Equity – Long Term – A capitalization ratio comparing long-term debt to shareholders’ equity.

Dividend Yield – A financial ratio that indicates how much a company pays out in dividends each year relative to its share price. Dividend yield is represented as a percentage and can be calculated by dividing the dollar value of dividends paid in a given year per share of stock held by the dollar value of one share of stock.

EPS Growth – Long Term – The growth of earnings per share over time.

Long-Term Debt to Capital – A variation of the debt to equity ratio used to measure a company’s financial leverage, calculated by dividing long-term debt by total capital.

Market Cap – Refers the total dollar market value of a company’s outstanding shares. Commonly referred to as “market cap,” it is calculated by multiplying a company’s shares outstanding by the current market price of one share.

Median – The median is the middle number in a sorted, ascending or descending, list of numbers and can be more descriptive of that data set than the average.

Net Debt to EBITDA – A leverage ratio calculated as a company’s interest-bearing liabilities minus cash or cash equivalents, divided by its EBITDA.

Price to Book (P/B) – A ratio used to compare a stock’s market value to its book value.  It is calculated by dividing the current closing price of the stock by the latest quarter’s book value per share.

Price to Earnings (P/E) – The ratio for valuing a company that measures its current share price relative to its per-share earnings.

Return on Assets (ROA) – Return on assets (ROA) is an indicator of how profitable a company is relative to its total assets, calculated by dividing net income by total assets.

Return on Equity (ROE) – Return on equity (ROE) is a measure of financial performance calculated by dividing net income by shareholders’ equity. Because shareholders’ equity is equal to a company’s assets minus its debt, ROE is considered the return on net assets. ROE is considered a measure of how effectively management is using a company’s assets to create profits.

Return on Invested Capital (ROIC) – Return on invested capital (ROIC) is a calculation used to assess a company’s efficiency at allocating the capital under its control to profitable investments. The return on invested capital ratio gives a sense of how well a company is using its money to generate returns.

Weighted Average – An average in which each quantity to be averaged is assigned a weight, and these weightings determine the relative importance of each quantity on the average.

Risk/Return Metrics:

Alpha – A measure of the difference between a portfolio’s actual returns and its expected performance, given its level of risk as measured by beta. A positive Alpha figure indicates the portfolio has performed better than its beta would predict. In contrast, a negative Alpha indicates the portfolio has underperformed, given the expectations established by beta.

Beta – Beta is a measure of systematic risk with respect to a benchmark. Systematic risk is the tendency of the value of the portfolio and the value of the benchmark to move together. Beta measures the sensitivity of the portfolio’s excess return (total return minus the risk-free return) with respect to the benchmark’s excess return that results from their systematic co-movement.

Down Capture – Downside Capture Ratio measures a manager’s performance in down markets. A down-market is defined as those periods (months or quarters) in which market return is less than 0. In essence, it tells you what percentage of the down-market was captured by the manager. For example, if the ratio is 110%, the manager has captured 110% of the down-market and therefore underperformed the market on the downside.

Information Ratio – Information ratio is a risk-adjusted performance measure. The information ratio is a special version of the Sharpe Ratio in that the benchmark doesn’t have to be the risk-free rate.

R-Squared – Reflects the percentage of a portfolio’s movements that can be explained by movements in its benchmark.

Sharpe Ratio – A risk-adjusted measure developed by Nobel Laureate William Sharpe. It is calculated by using standard deviation and excess return to determine reward per unit of risk. The higher the Sharpe Ratio, the better the portfolio’s historical risk-adjusted-performance. The Sharpe ratio is calculated by dividing a portfolio’s annualized excess returns by the standard deviation of a portfolio’s annualized excess returns. The Sharpe Ratio can be used to compare two portfolios directly on how much risk a portfolio had to bear to earn excess return over the risk-free rate.

Standard Deviation – A statistic that measures the dispersion of a dataset relative to its mean and is calculated as the square root of the variance.

Tracking Error – A measure of the risk in an investment portfolio that is due to active management decisions made by the portfolio manager; it indicates how closely a portfolio follows the index to which it is benchmarked.

Up Capture – Upside Capture Ratio measures a manager’s performance in up markets relative to the market (benchmark) itself. It is calculated by taking the security’s upside capture return and dividing it by the benchmark’s upside capture return.


Other Metrics:

10 Year Treasury Yield – is the current rate Treasury notes would pay investors if they bought them today.

Cape Shiller Ratio – a valuation measure that uses real earnings per share (EPS) over a 10-year period to smooth out fluctuations in corporate profits that occur over different periods of a business cycle. 

Price to Cash Flow –  ratio is a stock valuation indicator or multiple that measures the value of a stock’s price relative to its operating cash flow per share.