**TERMS USED ON THIS SITE**

*12-month Rolling ROR: *The compounded Rate of Return for the last 12 months.

*Alpha:* The difference between a portfolio’s expected return based on its beta and its actual return. Alpha is sometimes stated as the value that a portfolio manager adds above and beyond a relevant index performance.

*Back-tested: *Calculations of how a model portfolio may have performed over a measurement period had the model portfolio existed.

*Beta: *A measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole.

*CAGR or Annualized: *The compound annual growth rate is the Rate of Return that would be required for an investment to grow from its beginning balance to its ending balance assuming the profits were reinvested at the end of each year of the investment’s lifespan.

*Correlation:* A statistical measure of how two portfolios or securities move in relation to each other.

*Down Capture Ratio*: A statistical measure of an investment model’s overall performance in down-markets. It is used to evaluate how well an investment model performed relative to an index during periods when that index dropped.

*Downside Deviation:* A measure of downside risk that focuses on returns that fall below a minimum threshold or minimum acceptable return.

*Losing Months:* The number of months with negative returns during a measurement period calculated as a percentage of total months in the measurement period.

*Maximum Drawdown:* The largest peak-to-trough decline during a specific record period of an investment, quoted as the percentage between the peak and the trough.

*Measurement Period:* A specified time period for which model returns are calculated.

*Median Return:* The middle number in a sorted list of numbers. To determine the median return in a sequence of return numbers, the numbers are first arranged in value order from lowest to highest. For an odd amount of numbers, the median is the middle number, with the same amount of numbers below and above. For an even amount of numbers in the list, the middle pair of numbers is averaged to find the median.

*Recovery Time (Peak to Peak):* The duration in months from the start of the Maximum Drawdown until the investment recovers fully from the effects of losses suffered during the Maximum Drawdown.

*ROR or Rate of Return: *The gain or loss on

*Risk-Free Rate: *A rate of return an investor would expect from a risk-free investment over a specified period of time.

*Sharpe Ratio:* A measure for calculating

*Sortino Ratio:* A modification of the Sharpe Ratio that differentiates harmful volatility from general volatility by taking into account the standard deviation of negative asset returns (downside deviation). The Sortino ratio subtracts the risk-free rate of return from a portfolio’s

*Standard Deviation:* The level of volatility in returns relative to an average period return.

*Total Return:* The actual Rate of Return of an investment over a given evaluation period, including interest, capital gains, dividends and distributions realized over a given period of time.

*VaR Historical:* Value at risk is a measurement of risk used to determine the worst-case scenario.

*Volatility:* A statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the Standard Deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security.

*Winning Months:* The number of months with positive returns during a measurement period calculated as a percentage of total months in the measurement period.