The value of the intercept in the capital asset pricing model. It is the risk-adjusted excess return

The lesser of total purchase or sales transactions divided by total value of portfolio for the past 12 months.

The arithmetic mean is commonly referred to as the “average.” This measure shows what the average return has been and is commonly used for forecasting purposes.

In attribution analysis, excess return derived from overweighting and underweighting specific asset classes relative to the benchmark.

Contribution of active return due to the specific assets themselves with no common factor influences.

Determines the portion of excess return attributable to asset allocation and security selection.

Ratio of the number of periods the portfolio outperforms the benchmark relative to the total number of periods.

Sensitivity of a stock (portfolio) to the market (benchmark) in the capital asset pricing model. It is comprised of the volatility of a stock and its correlation with the market (benchmark).

Alpha over the given period divided by the tracking error. The beta-adjusted information ratio adjusts the alpha for the amount of active risk taken. Alpha per unit of active risk.

Accounting value of the firm. Total value of the company's assets that shareholders would theoretically receive if the company were liquidated. Calculated by Compustat.