The MPT Statistics Table can be used in three ways: 1.)view this table in its current format, 2.) reorganize this table by selecting any single criteria in the drop down menu (at the top of the table) and then click the "Sort by" button, 3.) view more information about a specific fund by clicking on the fund name.

For definitions of Modern Portfolio Theory (MPT) Statistics, please refer to the definitions section at the bottom of this page.

MPT Statistics (07/31/10) Fund name Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Std. Dev. 3YR Std. Dev. 5YR Domestic Equity Funds Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR AHA Socially Responsible Equity N -0.42   1.02   -0.35   91.61   23.48   American Trust Allegiance 2.45 1.22 1.01 1.00 -0.24 -0.07 94.69 93.68 22.87 18.37 Appleseed Fund 10.99   0.82   0.20   77.21   20.42   Ariel Appreciation 0.00 -1.42 1.15 1.11 -0.12 -0.05 92.37 89.39 31.85 25.15 Ariel Focus Fund 1.32 -0.74 1.10 1.10 -0.28 -0.17 92.18 91.12 25.47 20.43 Ariel Fund -0.79 -1.77 1.26 1.20 -0.19 -0.13 91.75 88.65 37.60 29.57 Azzad Ethical Income Fund                     Azzad Ethical Mid Cap Fund 0.03 -1.27 0.94 0.94 -0.11 -0.05 85.42 84.35 26.97 21.99 Calvert Capital Accumulation A -0.94 -2.80 0.87 0.89 -0.16 -0.13 91.63 90.04 24.02 19.94 Calvert Capital Accumulation B -1.94 -3.72 0.87 0.89 -0.20 -0.18 91.67 90.09 24.01 19.94   Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR Calvert Capital Accumulation C -1.70 -3.56 0.87 0.89 -0.19 -0.17 91.61 90.02 23.99 19.92 Calvert Large Cap Growth A -3.07 -2.59 1.01 1.02 -0.45 -0.26 92.13 90.37 23.33 19.06 Calvert Large Cap Growth B -3.97 -3.44 1.01 1.02 -0.49 -0.31 92.12 90.37 23.33 19.07 Calvert Large Cap Growth C -3.84 -3.35 1.01 1.02 -0.48 -0.30 92.08 90.33 23.33 19.07 Calvert Mid Cap Value A -5.40 -3.72 0.91 0.91 -0.33 -0.18 95.01 93.23 24.71 20.07 Calvert Mid Cap Value C -6.33 -4.67 0.91 0.91 -0.37 -0.22 94.96 93.17 24.73 20.08 Calvert New Vision Small Cap A -5.33 -5.95 0.83 0.84 -0.39 -0.36 93.52 90.72 24.16 20.30 Calvert New Vision Small Cap B -6.56 -7.04 0.84 0.84 -0.44 -0.42 93.58 90.84 24.22 20.33 Calvert New Vision Small Cap C -6.27 -6.82 0.84 0.84 -0.43 -0.41 93.59 90.78 24.21 20.34 Calvert Small Cap Value A -1.99 -1.89 0.87 0.87 -0.25 -0.16 93.81 92.21 25.20 20.84 Calvert Small Cap Value C -2.89 -2.80 0.87 0.87 -0.29 -0.21 93.78 92.20 25.22 20.86   Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR Calvert Social Index A 0.37 -1.08 1.07 1.07 -0.33 -0.19 97.69 97.31 24.00 19.24 Calvert Social Index B -0.59 -2.04 1.07 1.07 -0.36 -0.24 97.63 97.27 24.02 19.25 Calvert Social Index C -0.66 -2.06 1.07 1.07 -0.37 -0.24 97.69 97.32 23.94 19.19 CSIF Enhanced Equity Portfolio A -5.65 -4.48 1.66 1.66 -0.36 -0.22 97.27 96.88 23.02 18.50 CSIF Enhanced Equity Portfolio B -6.75 -5.52 1.66 1.66 -0.40 -0.28 97.37 96.96 23.01 18.50 CSIF Enhanced Equity Portfolio C -6.47 -5.31 1.65 1.66 -0.39 -0.26 97.30 96.91 23.00 18.50 CSIF Equity Portfolio A 3.75 0.78 0.97 0.96 -0.18 -0.09 95.88 94.91 21.93 17.47 CSIF Equity Portfolio B 2.84 -0.09 0.97 0.96 -0.22 -0.14 95.90 94.94 21.94 17.48 CSIF Equity Portfolio C 2.93 -0.01 0.97 0.96 -0.21 -0.13 95.88 94.92 21.93 17.47 Domini Social Equity A -0.15 -1.38 1.06 1.06 -0.34 -0.20 96.44 96.10 23.75 19.20 Domini Social Equity Fund 1.31 -0.37 1.05 1.05 -0.29 -0.15 97.55 97.04 23.45 18.98   Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR Domini Social Equity R 1.67 -0.05 1.05 1.05 -0.27 -0.14 97.55 97.00 23.42 18.95 Dreyfus Premier Third Century A 2.70 0.09 0.94 0.94 -0.22 -0.13 96.95 95.71 21.06 17.08 Dreyfus Premier Third Century B 1.74 -0.81 0.94 0.95 -0.26 -0.18 96.91 95.71 21.10 17.13 Dreyfus Premier Third Century C 2.00 -0.59 0.94 0.94 -0.25 -0.17 96.90 95.69 21.11 17.12 Dreyfus Premier Third Century T                     Dreyfus Premier Third Century Z 3.06 0.41 0.94 0.95 -0.21 -0.11 97.03 95.83 21.13 17.13 Dreyfus Socially Resp Growth S 2.99 0.32 0.95 0.95 -0.21 -0.12 97.02 95.82 21.23 17.21 Eventide Gilead Fund                     Firsthand Alternative Energy Fund                     Flex-funds Total Return Utilities -0.10 -0.08 1.12 0.99 -0.20 0.04 76.78 69.28 22.89 19.22 Gabelli SRI Fund Inc A 8.80   1.03   0.01   82.49   25.20     Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR Gabelli SRI Fund Inc AAA 8.80   1.03   0.01   82.42   25.19   Gabelli SRI Fund Inc C 8.00   1.03   -0.02   82.33   25.19   Green Century Equity 0.71 -0.77 0.97 0.97 -0.31 -0.18 98.67 98.10 21.63 17.45 Integrity Growth & Income Fund -1.04 0.91 0.77 0.79 -0.37 -0.07 83.54 81.51 18.59 15.54 LKCM Aquinas Growth Fund 3.44 -0.59 0.92 0.92 -0.18 -0.16 92.24 89.40 21.12 17.31 LKCM Aquinas Small Cap Fund -2.24 -1.08 0.91 0.92 -0.27 -0.12 97.06 94.88 25.83 21.82 LKCM Aquinas Value Fund 1.83 1.12 1.07 1.06 -0.27 -0.08 95.44 95.13 24.15 19.37 MMA Praxis Core Stock A -2.64 -3.02 1.05 1.04 -0.44 -0.29 96.16 95.57 23.65 18.89 MMA Praxis Core Stock B                     MMA Praxis Growth Index A 1.57   0.94   -0.27   94.79   21.36   MMA Praxis Growth Index B                       Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR MMA Praxis Small Cap Fund A -3.88   0.88   -0.33   95.48   25.15   MMA Praxis Small Cap Fund B                     MMA Praxis Value Index A -3.66 -2.52 1.12 1.12 -0.47 -0.25 94.82 94.32 25.43 20.55 MMA Praxis Value Index B                     Neuberger Berman Socially Responsive Inv 0.99 1.32 0.96 0.96 -0.29 -0.06 92.50 91.17 22.12 17.92 Neuberger Berman Socially Responsive Tr 0.81 1.13 0.97 0.96 -0.30 -0.07 92.49 91.17 22.14 17.93 New Alternatives Fund -1.92 4.90 1.31 1.30 -0.34 0.06 74.61 70.88 33.90 27.82 New Covenant Growth Fund -0.57 -3.48 0.79 0.77 -0.41 -0.18 90.89 88.33 22.25 18.02 Parnassus Equity Income 7.27 4.67 0.84 0.85 0.02 0.16 93.65 92.55 19.21 15.59 Parnassus Fund 7.42 4.18 1.16 1.16 -0.07 0.06 86.26 84.03 27.82 22.56 Parnassus Mid-Cap Fund 0.69 0.53 0.83 0.82 -0.09 0.04 90.51 87.57 22.86 18.67   Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR Parnassus Small Cap Fund 7.51 5.78 1.00 0.99 0.06 0.16 88.27 87.80 30.11 24.35 Parnassus Workplace Fund 12.48 6.66 1.11 1.09 0.12 0.19 90.82 88.40 25.78 20.60 Pax World Growth 2.69 -0.55 1.05 1.05 -0.23 -0.15 90.87 85.75 24.49 20.12 Pax World Growth R 2.49 -0.76 1.05 1.05 -0.23 -0.16 90.84 85.72 24.50 20.13 Pax World Small Cap Fund                     Pax World Small Cap Fund R                     Pax World Women's Equity Fund -1.26 -2.43 1.02 1.00 -0.39 -0.26 95.06 93.90 23.02 18.27 Sentinel Sustainable Core Opportunities Fund A -2.60 -1.67 0.99 1.00 -0.45 -0.22 96.38 95.69 22.32 18.18 Sentinel Sustainable Emerging Companies Fund A -3.16 -1.52 1.05 1.06 -0.43 -0.19 82.80 78.91 25.67 21.34 Spectra Green Fund Class N 2.17 3.83 1.08 1.08 -0.24 0.05 89.70 87.72 25.21 20.57 Utopia Core Conservative                       Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR Utopia Core Fund                     Utopia Growth Fund                     Utopia Yield Income Fund                     Vanguard FTSE Social Index Fd -0.82 -1.94 1.15 1.14 -0.36 -0.22 95.95 95.71 25.99 20.81 Walden Social Equity Fund 4.03 1.21 0.90 0.88 -0.16 -0.06 98.04 96.35 19.95 15.87 Winslow Green Growth Fund -10.81 -4.68 1.24 1.23 -0.42 -0.21 82.02 79.25 39.23 32.29 Winslow Green Solutions                     International/Global Funds Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR American Trust Energy Alternatives Fund                     Calvert Global Alternative Energy A -11.88   1.25   -0.47   61.22   44.05   Calvert Global Alternative Energy C -12.65   1.25   -0.48   61.26   44.00   Calvert International Opportunities A 2.98   1.01   -0.29   94.55   28.11   Calvert International Opportunities C 2.19   1.01   -0.31   94.51   28.13   Calvert World Values Intl Equity A -5.21 -4.30 1.07 1.07 -0.54 -0.17 94.97 95.26 29.84 24.28 Calvert World Values Intl Equity B -6.27 -5.29 1.07 1.07 -0.57 -0.21 94.93 95.22 29.79 24.24 Calvert World Values Intl Equity C -6.03 -5.10 1.07 1.07 -0.56 -0.20 95.02 95.29 29.79 24.24 DFA Emerging Mkts Soc Core Eq Port 1.02   1.02   -0.03   97.71   37.31   Domini European PacAsia Social Equity A -2.74   1.06   -0.47   98.30   28.84     Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR Domini European PacAsia Social Equity Fund -3.14   1.06   -0.49   98.25   28.91   Domini European Social Equity A                     Domini European Social Equity Fund                     Domini PacAsia Social Equity A                     Domini PacAsia Social Equity Fund                     Guinness Atkinson Alternative Energy Fund -19.66   1.42   -0.61   68.31   47.49   MMA Praxis International A -3.22 -2.71 0.90 0.91 -0.50 -0.12 94.00 94.01 25.10 20.63 MMA Praxis International B                     Pax World Global Green                     Pax World Global Green R                     Pax World International Fund                       Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR Pax World International Fund R                     Portfolio 21 2.49 1.63 0.83 0.83 -0.29 0.10 95.73 94.18 22.70 18.68 Balanced Funds Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR Calvert Aggresive Allocation A -5.45 -3.32 1.58 1.58 -0.36 -0.16 95.67 94.73 22.16 17.78 Calvert Aggresive Allocation C -6.76 -4.58 1.58 1.57 -0.41 -0.24 95.72 94.74 22.12 17.75 Calvert Conservative Allocation A 1.58 0.67 0.65 0.64 0.06 0.12 93.24 91.90 9.09 7.24 Calvert Conservative Allocation C 0.18 -0.66 0.65 0.64 -0.10 -0.07 93.06 91.77 9.09 7.23 Calvert Moderate Allocation A -2.59 -1.73 1.18 1.17 -0.27 -0.11 96.32 95.76 16.28 13.03 Calvert Moderate Allocation C -3.35 -2.55 1.18 1.17 -0.32 -0.17 96.26 95.72 16.30 13.04 CSIF Balanced Portfolio A -2.44 -2.25 1.00 1.00 -0.28 -0.18 92.06 92.34 14.18 11.36 CSIF Balanced Portfolio B -3.43 -3.22 1.00 1.00 -0.35 -0.26 92.10 92.39 14.18 11.36 CSIF Balanced Portfolio C -3.30 -3.14 1.00 1.00 -0.34 -0.25 92.06 92.34 14.18 11.36 Green Century Balanced Fund -1.60 -2.27 1.05 1.05 -0.22 -0.17 93.08 90.94 14.77 11.95   Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR Legg Mason Partners Social Awareness A 3.39 0.70 0.72 0.72 -0.15 -0.08 94.63 93.39 16.32 13.07 Legg Mason Partners Social Awareness B 2.54 -0.17 0.72 0.71 -0.19 -0.15 94.27 93.03 16.21 12.99 Legg Mason Partners Social Awareness C 2.85 0.13 0.73 0.72 -0.18 -0.12 94.69 93.45 16.32 13.07 New Covenant Balanced Growth Fund -2.95 -3.09 0.99 0.99 -0.34 -0.15 95.08 94.87 15.04 12.10 New Covenant Balanced Income Fund -1.47 -1.23 0.75 0.75 -0.25 -0.12 86.99 87.01 10.88 8.70 Pax World Balanced Fund -3.38 -2.03 1.15 1.16 -0.32 -0.13 90.97 89.83 16.46 13.38 Pax World Balanced R -3.61 -2.25 1.15 1.16 -0.33 -0.15 90.81 89.68 16.46 13.38 Walden Social Balanced Fund -0.74 -0.98 0.90 0.89 -0.17 -0.07 94.98 92.70 12.51 10.07 Fixed Income Funds Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR Access Cap Strat Community Inv Fd 3.63 1.24 0.42 0.59 2.24 1.14 30.94 42.60 2.76 2.76 CRA Qualified Investment Fund 0.82 -0.17 0.66 0.75 1.69 0.83 75.72 81.88 3.08 3.00 CRA Qualified Investment Fund Retail 0.88   0.66   1.71   75.45   3.08   CSIF Bond Portfolio A -1.18 -0.56 0.80 0.78 0.90 0.59 51.64 58.45 4.52 3.78 CSIF Bond Portfolio B -2.19 -1.55 0.80 0.79 0.67 0.32 51.66 58.44 4.54 3.80 CSIF Bond Portfolio C -1.99 -1.38 0.80 0.79 0.71 0.37 51.70 58.55 4.54 3.80 Domini Social Bond Fund 3.73 1.61 0.34 0.38 1.71 0.94 57.14 61.22 3.58 3.13 DWS GNMA Fund S 3.64 1.45 0.57 0.70 2.43 1.33 51.54 58.86 2.93 2.81 LKCM Aquinas Fixed Income -1.04 -0.61 0.95 0.90 1.16 0.69 73.90 76.92 4.47 3.72 MMA Praxis Intermediate Income A -0.02 -0.26 1.07 1.06 1.58 0.89 91.71 93.38 4.53 3.95   Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR MMA Praxis Intermediate Income B                     New Covenant Income Fund -3.96 -2.56 0.77 0.77 0.14 0.02 20.64 26.21 6.89 5.57 Parnassus Fixed Income 0.26 0.82 0.87 0.77 1.63 1.15 89.26 79.40 3.70 3.11 Pax World High Yield Bond Fund -0.33 0.24 0.73 0.74 0.37 0.35 86.26 86.36 13.88 10.93 PIMCO Low Duration Fund III Admin 1.71 0.68 0.48 0.51 0.89 0.56 12.61 17.76 5.54 4.41 PIMCO Total Return III Admin 3.16 1.35 0.95 1.02 1.88 1.11 56.44 66.10 5.14 4.55 Institutional Funds Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR AHA Socially Responsible Equity I -0.21 -0.20 1.02 1.01 -0.34 -0.14 91.65 91.12 23.44 18.80 Calvert Global Alternative Energy I -11.48   1.25   -0.46   61.27   43.96   Calvert International Opportunities I 3.45   1.01   -0.27   94.50   28.12   Calvert Large Cap Growth I -2.49 -2.03 1.01 1.02 -0.43 -0.23 92.13 90.36 23.33 19.07 Calvert Mid Cap Value I -4.75 -3.05 0.91 0.91 -0.31 -0.14 94.96 93.17 24.74 20.09 Calvert New Vision Small Cap I                     Calvert Social Index I 0.92 -0.54 1.07 1.07 -0.30 -0.16 97.64 97.28 24.01 19.24 Calvert World Values Intl Equity I -4.51 -3.61 1.07 1.07 -0.52 -0.14 94.93 95.23 29.81 24.25 CRA Qualified Investment Fund I 1.25   0.66   1.82   74.20   3.11   CSIF Balanced Portfolio I                       Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR CSIF Bond Portfolio I -0.62 0.02 0.80 0.79 1.03 0.74 51.54 58.27 4.56 3.81 CSIF Equity Portfolio I 4.33 1.33 0.97 0.96 -0.15 -0.06 95.88 94.91 21.95 17.48 Domini Institutional Social Equity Fund 1.68 0.00 1.05 1.05 -0.27 -0.13 97.55 97.04 23.46 18.97 Dreyfus Premier Third Century I 3.15 0.56 0.94 0.95 -0.20 -0.10 97.05 95.79 21.09 17.13 Dreyfus Socially Resp Growth I 3.23 0.56 0.95 0.95 -0.20 -0.10 97.02 95.81 21.22 17.20 Gabelli SRI Fund Inc I 9.06   1.03   0.02   82.45   25.18   MMA Praxis Core Stock I -2.27   1.05   -0.43   96.14   23.68   MMA Praxis Growth Index I 1.87   0.95   -0.26   94.81   21.40   MMA Praxis Intermediate Income I 0.26   1.08   1.64   91.42   4.55   MMA Praxis International I -2.76   0.90   -0.49   94.00   25.07   MMA Praxis Small Cap Fund I -3.64   0.88   -0.32   95.47   25.17     Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR MMA Praxis Value Index I -3.26   1.11   -0.45   94.81   25.35   Pax World Balanced I -3.14 -1.87 1.15 1.16 -0.30 -0.12 90.86 89.73 16.47 13.38 Pax World Global Green I                     Pax World Growth I 2.91 -0.42 1.05 1.05 -0.22 -0.15 90.94 85.79 24.48 20.12 Pax World International Fund I                     Pax World Small Cap Fund I                     Pax World Women's Equity Fund I -0.99 -2.19 1.02 1.00 -0.38 -0.25 95.06 93.90 23.02 18.27 PIMCO Low Duration Fund III I 1.97 0.93 0.48 0.51 0.94 0.62 12.60 17.74 5.54 4.41 PIMCO Total Return III I 3.41 1.60 0.95 1.02 1.94 1.16 56.45 66.10 5.14 4.55 Portfolio 21 I 2.80   0.83   -0.28   95.74   22.70   Sentinel Sustainable Core Opportunities Fund I -2.13 -1.32 0.99 1.00 -0.43 -0.21 96.35 95.69 22.27 18.14   Alpha 3YR Alpha 5YR Beta 3YR Beta 5YR Sharpe 3YR Sharpe 5YR R. Sq. 3YR R. Sq. 5YR Stdv. 3YR Stdv. 5YR Sentinel Sustainable Emerging Companies Fund I -3.81 -1.69 1.05 1.06 -0.45 -0.20 82.69 78.79 25.63 21.33 TIAA CREF Inst Social Choice Equity Retail 2.20   1.03   -0.25   99.16   22.90   TIAA-CREF Inst Social Choice Equity Retire 2.06 0.68 1.03 1.03 -0.26 -0.10 99.14 98.84 22.87 18.36 Vanguard FTSE Social Index I -0.62 -1.79 1.15 1.15 -0.36 -0.22 96.11 95.85 26.07 20.87 Winslow Green Growth I -10.59   1.24   -0.42   81.94   39.21

Definitions of Modern Portfolio Theory Statistics

Alpha
A measure of risk adjusted performance used to quantify the difference between the security's actual performance and the performance anticipated in light of the security's risk (beta) and the market's (relative market index) behavior. In short, alpha tells us how much better, or worse, a security did relative to what it was expected to do based on its risk posture. A positive alpha indicates a security's return has been more than commensurate with its risk posture. Higher numbers are better than lower.

Beta
A measure of a security's volatility in relation to the equity market as measured by the market index relative to each security's investment category. This statistic reflects only the market-related portion of a security's risk, and so is a narrower measure than standard deviation, which reflects total risk (market related and unique.) In general, the volatility of the relative market index is considered to be 1.00, so beta of 1.50 would indicate a volatility level 50% greater than that of the market. Since this statistic is relative to the market, betas for securities with little or no correlation to the market are less significant. You may wish to consider R-Squared as a measure of more significance of this statistic.

R - Squared
A measure of a security's diversification in relation to the market, this statistic indicates the percentage of a security's risk which cannot be eliminated through further diversification. In precise percentage terms, this figure indicates just how closely a security's performance variation paralleled the market over the same time period. Lower figures indicate less correlation with the market, and hence lower significance of the beta statistic. A relative market index is used as a proxy for the market when measuring R-Squared.

Sharpe ratio
A measure of risk-adjusted performance calculated by dividing the excess return of a portfolio above the risk-free rate by its standard deviation. Higher values are desirable and indicate greater return per unit of risk.

Standard deviation (Stdv.)
A statistical measure of the month-to-month ups and downs of a security's returns. Money-market securities, which have stable asset values, have standard deviations of zero. Volatile, aggressive-growth portfolios can have standard deviations of 6 percent or more.