Analyze Risk

In addition to calculating multi-period returns, the Performance Analysis report can be used to derive risk adjusted return statistics. Several of the statistics can be calculated using either an arithmetic or geometric linking method used to derive the fund, benchmark and risk free returns used in the risk statistics.

The report in the following figure shows the arithmetic average return over time along with the standard deviation of the single-period returns used to calculate the average, for both the fund and its comparison benchmark.

The report's return fields are Performance Analysis and Performance Link Analysis fields, but the standard deviation added to the report uses the Performance Risk Analysis field type. See the following figure.