Quantitative Selection

Performance vs. benchmark (rolling YTD, one, three, five year periods)

Modern Portfolio Theory (MPT) statistical evaluation

·         Alpha –measures managers risk adjusted performance

·         Beta- measures manager’s systemic risk

·         R-squared - comparison measurement of managers returns to market index

·         Standard deviation –measures managers returned dispersion or variance

·         Tracking error –measures how closely manager tracks index returns

·         Sharpe ratio –measures manager’s excess return over risk – free rate of return

·         Sortino ratio - Sharpe ratio refinement which differentiates harmful volatility from volatility in general by replacing standard deviation with downside deviation in denominator

·         Up-market capture ratio -measures manager’s performance in up markets relative to index

·         Down-market capture ratio –opposite of up-market capture ratio

·         Batting average –measures manager’s ability to meet or beat market consistently

·         etc……