Metrics Reference

An exhaustive list of metrics that are available on the site with the formulas used and interpretation if any.

Metrics

CAGR

Compounded annual growth rate of a value series. Also known as the geometric mean.

[(1 + R1)(1 + R2)(1 + R3)...(1 + Rn)]^(1/N_years) - 1.0

Active Return

Difference between a portfolio return series and a benchmark return series. Also known as Excess Return

[(1 + A1)(1 + A2)...(1 + An)] - 1.0

Where:
- A(t) = Portfolio Return(t) - Benchmark Return(t)

Avg Active Return

Average Difference of Active Return

(A1 + A2 + A3 + ... + An) / n

Tracking Error

Standard Deviation of Active Return

STDDEV([A1, A2, A3 ..., An])

Sharpe Ratio

Risk adjusted measure of return. Determine how much rewards per unit of risk. Annualized by default

Monthly SR = Mean(Excess Returns) / Std Dev(Excess Returns)
Annual SR = Monthly SR * √12

Note:

• Excess Monthly Return(t) = Portfolio Month Return(t) - Monthly Risk Free Rate(t)

Sortino Ratio

Risk-adjusted returns by focusing only on downside volatility. Annualized by default.

Monthly Sortino Ratio = Mean(Excess Returns) / Downside Deviation

Annual Sortino = Monthly Sortino * √12

General Note

• R(t) is return in that period

  • (value(t) - value(t-1)) / value(t-1) - 1.0

• FED 3-Month Treasury is used as risk free rate by default.