The asset-weighted average of the standard deviation, mean, and Sharpe ratio figures of the holdings in the portfolio. The sum of these statistics multiplied by the weight (%) each holding takes up in the portfolio equals the average standard deviation, mean, and Sharpe ratio of the portfolio as a whole.
Standard Deviation
Standard deviation is a statistical measurement of dispersion about an average, which depicts how widely the returns varied over a certain period of time. A high standard deviation indicates that the predicted range of performance is wide, implying greater volatility.
Mean
This figure represents the annualized geometric average of the investment’s monthly total returns over the trailing three, five, and ten years.
Sharpe Ratio
A risk-adjusted measure developed by Nobel Laureate William Sharpe. It is calculated by using standard deviation and excess return to determine reward per unit of risk. The higher the Sharpe Ratio, the better the fund’s historical risk-adjusted performance. The Sharpe ratio is calculated for the past three-, five-, and ten-year periods by dividing a fund’s annualized excess returns by its annualized standard deviation.