Portfolio Level Statistics

The Analytics tab gives various quantitative statistics to see how your overall portfolio, along with how your individual positions, are doing. Not only that but you are also able to compare your portfolio performance with that of the benchmark indices.

Let’s go over what each statistic means and how it is calculated.

The Portfolio Level statistics are calculated from the month ending account values that you entered in the Equity Charts tab.

Return Since Inception - Percentage return from the start date to the end date. CAGR - (Compound Annual Growth Rate) The annual percent return of the portfolio. CAGR is a "smoothed" rate of return. In other words, this is the return at which the portfolio would have grown if it grow at a steady rate. Calculated as [(Ending Value / Beginning Value) ^ (1 / # of years)] – 1 YTD Return - The return since the beginning of the year. Based on the end specified "To" date, not on the current date.

• Best Month - The highest percentage return of all recorded months.
• Worst Month - The lowest percentage return of all recorded months.
• Average Month - Average percentage return of all recorded months. Calculated as the sum of all monthly percentage returns divided by the total months.
• % Winning Months - Number of months in which there was a profitable percentage return.
• Longest Winning Streak - Number of consecutive profitable months.
• Longest Losing Streak - Number of consecutive unprofitable months.
  

Maximum Drawdown - Maximum DD is the largest drop in account value experienced for the specified timeframe. Calculated as the greatest difference between the highest high and lowest low monthly values.

Monthly Std. Dev. - The measure of "scatter" of the monthly returns. Standard Deviation value is calculated off of the monthly percentage returns, as derived from VAMI. Sharpe Ratio - Risk adjusted measure developed by William F. Sharpe. The higher the value, the better the historical risk-adjusted performance. Calculated by subtracting the Risk Free Rate (specified by user) from the Average Annual Return (CAGR) and dividing the resulting amount by the Standard Deviation.

MAR Ratio - (Calmar Ratio) Ratio that is used to determine return relative to downside risk. Calculated as CAGR divided by Maximum Drawdown.

K-Ratio – Ratio developed by Lars Kestner that is used for performance evaluation of an equity relative to its risk. It measures the consistency of an equity’s return over time with a higher value denoting a greater consistency. Calculated as K-Ratio = (Slope of Log VAMI Regression line) / (( Standard Error of Slope)*(Number of Period in Log VAMI)).