Exhibit 4: Portfolio Performance Measures
Statistic	Explanation
Holding Period Return (HPR)	Return to the portfolio over a specific period of time, calculated as (ending value - beginning value) / (beginning value).
Annualized Return	Return expressed in annual terms. Daily HPR are converted to annual HPR by multiplying by 252 (trading days per year).
Standard Deviation	Usual statistical calculation for standard deviation.
Annualized Standard Deviation	Standard deviation expressed in annual terms. Daily standard deviations are converted to annual standard deviations by multiplying by the square root of 252.
Correlation	Usual statistical calculation for Pearson correlation coefficient.
Beta	A relative risk measure, calculated by regressing a portfolio's returns against the market returns. Also calculated by dividing the covariance between the portfolio and the market by the variance of the market.
Sharpe Ratio	Measure of a portfolio's return per unit of risk. Calculated as the (Portfolio Return - Risk-free Rate) / (Standard Deviation of Returns).
Treynor Ratio	Measure of a portfolio's return per unit of risk. Calculated as the (Portfolio Return - Risk-free Rate) / (Portfolio Beta).
Jensen's Alpha	A measure of a portfolio's return above its required return based on the Capital Asset Pricing Model. Calculated as (Portfolio Return - Risk-free Rate) - Portfolio Beta x (Market Return - Risk-free Rate).
Daily Tracking Error	Excess return of the portfolio over a benchmark portfolio. Calculated as the standard deviation of the (Daily Portfolio Return - Daily Benchmark Return).
Annualized Tracking Error	Tracking error expressed in annual terms. Daily tracking errors are converted to annual tracking errors by multiplying by the square root of 252.
Information Ratio	Measure of a portfolio's return per unit of risk. Calculated as the (Annual Portfolio Return - Annual Benchmark Return) / (Annual Tracking Error).