EFTA01363041.pdf

GLOSSARY (CONT.) METRICS 1 • Mean Return — The average monthly return = P r= —Zri n i=i • Annualized Return — The calculated average yearly increase (or decrease) in the value of an investment, including the effects of compounding over a period other than a year = r A. Annualized return indicates how an investment has performed and allows it to be compared to other investments. rA .(ni ri)121" - 1 Standard Deviation (sample)— Measures the dispersal or uncertainty of investment returns = s. Specifically, it measures the degree of variation of monthly returns around the mean return. The higher the volatility of the investment returns, 1 f)2 s= the higher the standard deviation. Standard deviation is often used as a measure of investment risk. n— n i=t • Annualized Standard Deviation — Statistic that converts the standard deviation of monthly returns to a number applicable to yearly returns = sA. sA = sVn • Skewness (sample) —Measures the asymmetry or lopsidedness of the distribution of investment returns. The more negatively skewed the returns, the more common a loss in the returns reflects a larger loss, rather than a smaller loss. S3 Correlation — Indicates a measure of the strength and direction of the linear relationship between two variables or data sets over a period of time. Correlation can vary between +1 to -1. Values close to +1 indicate a high degree of relationship, values close to -1indicate a high degree of negative relationship, and values close to 0 indicate very little relationship overall. where: n= the total number of months the particular month referenced re - the return of the particular month referenced x, is Sigma notation. The capital Greek letter Sigma, (or, "S"i stands for the Sum. It means the sum of x, as f ranges from 1 to n. x, is Pi notation. The capital Greek letter Pi, (or "V} stands for the Product. It means the product of x, as i ranges from 1to rt. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0052884 CONFIDENTIAL SDNY_GM_00199068 EFTA01363041