tl;dr the rank is a 0–100 percentile score based on a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin ratio ranks. Each stock is compared with other stocks (or funds with funds) to determine their position among the peers. A rank of 85 means the investment performed better than approximately 85% of its peers on a historical risk-adjusted basis.

There's a documentation page on the risk/return rank, but let me know if there's anything I need to expand on.