Risk Characteristics Information provides customers with a means of assessing portfolio returns in light of a variety of risk measures and characteristics, viewed both on an absolute basis and relative to a benchmark.

Risk Characteristics Information includes the annualized standard deviation of returns, a measure of the historical volatility of a portfolio’s returns; and portfolio diversification (R²) relative to a selected benchmark and historical beta, indicating the proportionality of a portfolio’s return to the market’s return. Three measures of risk-adjusted returns are also provided: Jensen’s Alpha (risk-adjusted return), the Sharpe Ratio (return per unit of total risk), and the Treynor Ratio (return per unit of systematic risk).