Workstation Calculation Guide - Morningstar

Introduction
All descriptions, formulae and examples utilize a Reinvested Income Price Series (RIPs) rather
than the fund or indices pricing series. This is because RIPs are an aggregation of prices,
income, splits and other corporate actions thus allowing fair and easy comparison between funds
and indices.
Parameters Required for Calculations
Calculation
Annualized Option
Relative Option
Excess Option
Benchmark Option
In Simple Terms:
Alpha Y The measure of a funds theoretical
total return if the benchmark return
were zero.
Alpha (Ann) Y The measure of a funds theoretical
annualised return if the benchmark
return were zero.
Alpha (Jensen’s)
The funds alpha, adjusted by the
relative risk compared to the
benchmark.
Annual Average / Maximum Loss
The ratio of annualised return over
worst possible performance.
Appraisal Ratio Y
Bear Beta Y
Bear Correlation Y
Beta Y
Best / Worst Quarter
Bull Beta Y
Bull Correlation Y
Coefficient of Variation
Correlation Coefficient Y
Covariance Y
Down/Down Periods (% of Total)
Down/Up Periods (% of Total)
Efficiency
Gains : Losses
Benchmark Required
Manual Entry Option
Manual Entry Required
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