Value Added

Sum of the Excess Returns (Rpi–Rmi) divided by the Count of Returns.

(Single Period Geometrically Linked Portfolio Return–Single Period Geometrically Linked Market Return).

Annualized Value Added

(Arithmetic Value Added) * nObsPerYear.

(Annualized Period Geometrically Linked Portfolio Return–Annualized Period Geometrically Linked Market Return).

Information Ratio

(Arithmetic Value Added) divided by Standard Deviation of Excess Returns (Tracking Risk).

(Geometric Value Added) divided by Standard Deviation of Excess Returns (Tracking Risk).

Annualized Information Ratio

(Arithmetic Annualized Value Added) divided by (Annualized Tracking Risk).

(Geometric Annualized Value Added) divided by (Annualized Tracking Risk).

Sharpe Ratio

(Annual Mean Portfolio Return–Annual Mean Risk Free Rate) divided by Annualized Standard Deviation of Portfolio Return.

(Annualized Geometrically Linked Portfolio Return–Annualized Geometrically Linked Target Return) divided by Annualized Standard Deviation of Portfolio Return.

Treynor Ratio

(Annual Mean Portfolio Return–Annual Mean Risk Free Rate) divided by the Portfolio Beta.

(Annualized Geometrically Linked Portfolio Return–Annualized Geometrically Linked Target Return) divided by the Portfolio Beta.

Sortino Ratio

(Annual Mean Portfolio Return–Annual Mean Risk Free Return) divided by the Annualized Downside Deviation.

(Annualized Geometrically Linked Portfolio Return–Annualized Geometrically Linked Target Return) divided by the Annualized Downside Deviation.