Information ratio measures a strategy’s excess returns relative to the Russell 1000 Index, divided by the volatility of those excess returns.
Sharpe ratio divides a strategy’s gross return in excess of the 90-day Treasury bill by the strategy‘s standard deviation.
Beta measures the strategy’s volatility relative to the Russell 1000; a beta of 1.00 indicates that the strategy is as volatile as the Russell 1000 Index.
R-squared indicates the percentage of the strategy’s movement that is explained by the Russell 1000 Index’s movement, with a range of 0.00 to 1.00.
The standard deviation is a statistic that measures the dispersion of a dataset relative to its mean.
Active share measures the percentage of holdings that differ from the benchmark, calculated by summing the absolute values of differences between portfolio weightings and benchmark weightings, dividing the value by two.
Upside/Downside capture measures the strategy’s gross performance on monthly periods of upside/downside relative to the Russell 1000 Index.