Return Calculations

Cumulative Return

For the fund and benchmark, the cumulative return gives the compounded daily return over the entire valuation period. The precise calculation is as follows:

Cumulative Return

The cumulative active return is simply

Cumulative Return 2

Return Over a Sub-period

It may be useful to have the notion of cumulative returns from the kth period to the lth period during the valuation period. We will denote this by R[k:l]. This is calculated as follows:

Sub-period Return

     Note that R[1:n] is the cumulative return over the valuation period and R[k:k] is the return for period k. It is also convenient at times to define R[1:0] = 0.

Annualized Return

The annualized return gives the return if the cumulative return were compounded over a full year. The calculation is as follows:

Annualized Return 1 Annualized Return 2

The annualized active return is

Annualized Return 3

Cumulative VAMI

The term VAMI is an acronym for Value Added Monthly Index and represents the return on a hypothetical $1,000 investment at the beginning of the valuation period.

VAMI

where R is the cumulative return over the valuation period (for either the Fund or the Benchmark).

The active VAMI simply gives the difference between the Fund VAMI and the Benchmark VAMI.

Worst X Months

The Worst X Months statistic displays the lowest cumulative return of any X consecutive month period. For example, the worst 3 months is the cumulative return over the 3 consecutive months with the lowest cumulative return.

Best X Months

Defined analogously to Worst X Months.

Worst Month

The Worst Month statistic displays the cumulative return of the month with the lowest return.

Best Month

Defined analogously to Worst Month.

Valley

The valley is the least cumulative return of the portfolio over the valuation period. If looking at a graph of the cumulative return of the fund over the course of the valuation period, the valley would be the lowest point on the graph.

Valley

The active valley the difference between the Fund's valley and the Benchmark's valley.

Peak

The peak is the greatest cumulative return of the portfolio over the valuation period. If looking at a graph of the cumulative return of the fund over the course of the valuation period, the peak would be the highest point on the graph.

Peak

Batting Average

The batting average is the percentage of days in the valuation period that returns were greater than zero. It is calculated as follows:

Batting Average