Portfolio Beta
How much the portfolio moves relative to the market.
Beta measures systematic risk - how sensitive the portfolio is to market movements. Beta of 1 means the portfolio moves with the market. Beta > 1 indicates higher volatility than the market (aggressive); Beta < 1 indicates lower volatility (defensive). Beta is calculated as the covariance of portfolio returns with market returns, divided by market variance.
Portfolio Alpha (Jensen's)
Excess return after adjusting for market risk — the holy grail of active management.
R-Squared
How well the benchmark explains portfolio returns.
Sharpe Ratio
Risk-adjusted return: excess return divided by volatility.
DV01
Dollar change in value for a 1 basis point (0.01%) yield move.
CS01
Dollar change in value for a 1 basis point move in credit spread.
Macaulay Duration
The weighted average time (in years) to receive the bond's cash flows.