Percentile

The value below which a given percentage of observations fall. The median is the 50th percentile, the quartiles are the 25th and 75th, and the deciles divide the data into tenths.

Sort 200 daily returns from worst to best and the 10th worst is the 5th percentile, because 200 times 5% is 10. That figure, read as a loss, is the one-day historical value at risk at 95% confidence. Fund rankings work the same way: a fund in the top quartile beat at least three-quarters of its peers over the period.

Percentiles describe a distribution without assuming its shape, so they are preferred to standard deviations for skewed data such as valuation multiples or company sizes. Called the interquartile range, the gap between the 25th and 75th percentiles shows the spread of the middle half.

Ask which percentile, over which period and against which peers.