Definitions
Risk Metrics
Every risk measure FIBCOS reports is defined here first, so a reported figure can be checked against a stated definition rather than an assumed one.
Benchmark pairing
Every portfolio risk figure is reported alongside the equivalent benchmark figure for the identical period.
Definitions
The measures FIBCOS reports
The largest peak-to-trough decline in portfolio value over the measurement period, expressed as a percentage of the prior peak.
The elapsed time from the trough of a drawdown until the prior peak is regained. Reported in months.
Annualised standard deviation of portfolio returns over the measurement period, reported alongside the benchmark's for the identical period.
Standard deviation of returns below a stated minimum acceptable return, used because equity investors do not experience upside and downside dispersion identically.
Annualised standard deviation of the difference between portfolio and benchmark returns. Reported because concentrated portfolios deviate from benchmarks by construction.
Relative Alpha divided by tracking error. Reported only once a period of sufficient length exists for the measure to be meaningful.
Position count, largest-position weight and top-five weight, reported at each period end alongside the stated portfolio constraints.
Reporting condition
A ratio measure is reported only once the measurement period is long enough for it to carry meaning. FIBCOS will not publish an information ratio computed over a handful of months.
Track Record Pending
Risk measures are computed from live portfolio data. None exists.