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Portfolio Risk Score
Morningstar Risk & Return
Risk & Volatility Measures
Risk/Return Analysis
Market Volatility Measures
Morningstar Risk is an assessment of the variations in a investment's monthly returns in comparison to similar investments. The greater the variation, the larger the risk score.
Morningstar Return is an assessment of the investment's excess return over a risk-free rate (the return of the 90-day Treasury bill) in comparison to similar investments.
Investments with less than three years of performance history are not rated.
Alpha measures the difference between an investment's expected returns based on its beta and its actual returns. A positive alpha indicates the investment has performed better than its beta would predict. A negative alpha indicates an investment has underperformed, given the investment's beta.
Beta measures an investment's sensitivity to market movements. A beta greater than one indicates the investment is more volatile than the market. If beta is less than one, the investment is less risky than the market.
R-Squared reflects the percentage of an investment's movements that are explained by movements in its benchmark index. A higher R-squared indicates a more useful beta figure. A lower R-squared (less than 70%) is less relevant to the investment's performance.
Standard Deviation measures the range of an investment's performance. The greater the standard deviation, the greater the investment's volatility.
Sharpe Ratio indicates the reward per unit of risk by using standard deviation and excess return. The higher the Sharpe ratio, the better the investment's historical risk-adjusted performance.
Upside Capture Ratio measures a manager's performance in up-markets relative to the index. A value over 100 indicates that an investment has outperformed the benchmark during periods of positive returns for the benchmark.
Downside Capture Ratio measures the manager's performance in down-markets relative to the index. A value of less than 100 indicates that an investment has lost less than its benchmark when the benchmark has been in the red.
Maximum drawdown is the peak-to-trough decline during a specific recorded period of an investment. It measures the largest percentage drawdown that has occurred in a certain time period.