Historical volatility is measured by the standard deviation of returns. This statistical measure is calculated as the square root of the sum of squared deviations between each return and the mean, divided by the number of observations minus one. It served as the basis for calculating the former SRRI, which classified funds on a scale from one to seven based on annualized weekly volatility over five years.

The Sortino ratio isolates the volatility of negative returns, providing an asymmetric perspective on risk. Unlike other measures that consider total volatility, the Sortino ratio focuses solely on negative returns, which is crucial for assessing downside risk.

According to Article 411-77 of the AMF General Regulation, the historical observation period for VaR calculation must be at least 250 days. This requirement ensures that the historical data used is sufficiently robust to capture market variations.

Article 411-77 of the AMF General Regulation imposes strict parameters for VaR calculation, including a minimum confidence interval of 95%, a holding period not exceeding twenty business days, and a historical observation period of at least 250 days. Absolute VaR cannot exceed 20% of net assets.

Value at Risk (VaR) represents the main regulatory tool for analyzing volatility from a potential loss perspective. It is calculated with a confidence interval of at least 95% and a holding period not exceeding twenty business days, in accordance with Article 411-77 of the AMF General Regulation.

According to the AMF General Regulation, relative VaR is limited to twice the VaR of the reference portfolio. This means that relative VaR cannot exceed this limit. AMF Instruction No. 2011-15 further specifies that the VaR model must capture all material market risks.

Historical volatility and VEV are volatility measures. VaR is a market risk indicator. Tracking error is an active management indicator, as it measures the performance deviation relative to a benchmark.

A tracking error close to zero characterizes index management, where the portfolio closely tracks the benchmark. Conversely, a high tracking error reveals active management that is significantly different from the index. Tracking error thus measures the volatility of the performance deviation between the portfolio and its benchmark.