Appendix B
Performance Statistics Definitions
Table A2.1 provides a definition of the performance statistics used throughout the text.
Table A2.1 Performance Statistics Definitions
| Statistics | Description |
| CAGR | Compound annual growth rate |
| Standard Deviation | Sample standard deviation (annualized by square root of 12) |
| Downside Deviation | Sample standard deviation of all negative observations (annualized by square root of 12) |
| Sharpe Ratio | Monthly return minus risk-free rate divided by standard deviation (annualized by square root of 12) |
Sortino Ratio (MAR  5%) |
Monthly return minus minimum acceptable return (MAR/12) divided by downside deviation (annualized by square root of 12) |
| Worst Drawdown | Worst peak-to-trough performance |
| Worst Month Return | Worst monthly performance |
| Best Month Return | Best monthly performance |
| Profitable Months | Proportion of monthly performances that have a positive return |
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