**Beta** is a measure of a fund’s sensitivity to market movements as defined by its index.

**Correlation **is a measure of the strength of the relationship between a fund and its index.

**Information Ratio** is a ratio of portfolio returns above the returns of a benchmark (usually an index) to the volatility of those returns.

**R-Squared** is a statistical measure that represents the percentage of a fund or security's movements that can be explained by movements in a benchmark index.

**Sharpe ratio** is a risk-adjusted measure calculated using standard deviation and excess return to determine reward per unit of risk.

**Sortino** is a modification of the Sharpe ratio that differentiates harmful volatility from general volatility by taking into account the standard deviation of negative asset returns, called downside deviation.

**Tracking error** is the standard deviation of the difference between the returns of an investment and its benchmark.

**Upside and downside capture** measures a manager’s ability to generate excess return above the benchmark return in up markets and retain more of the excess return in down markets. The upside/downside capture ratio is the Fund’s up/down market return divided by the index’s up/down market return and equals the linked returns for all quarters in which the index return was greater/less than zero.

**Volatility or standard deviation** is a statistical measure of distribution around an average, which depicts how widely returns varied over a certain period of time. When a fund has a high standard deviation, the predicted range of performance is wide, implying greater volatility.