Alpha measures the difference between a investment's expected returns based on its beta and its actual returns. A positive alpha indicates the investment has performed better than its beta would predict. A negative alpha indicates an investment has underperformed, given the investment's beta.
Beta measures a investment's sensitivity to market movements. A beta greater than one indicates the investment is more volatile than the market. If beta is less than one, the investment is less risky than the market.
R-Squared reflects the percentage of a investment's movements that are explained by movements in its benchmark index. A higher R-squared indicates a more useful beta figure. A lower R-squared (less than 70%) is less relevant to the investment's performance.
Standard Deviation measures the range of a investment's performance. The greater the standard deviation, the greater the investment's volatility.
Sharpe Ratio indicates the reward per unit of risk by using standard deviation and excess return. The higher the Sharpe ratio, the better the investment's historical risk-adjusted performance.