Learn

Every figure, taught on a real example.

Forty-seven measures of a portfolio: what each one is, how it is computed here, the calculation done step by step on the demo portfolio's own numbers, and where it misleads.

How fresh are the numbers?

End of day, after the close — never real time. Prices are daily closes: they update once a day after the markets close, automatically on the paid plans and whenever you ask on the free one. That is the right grain for everything on this page: these measures describe weeks and years, and a move during the trading day changes none of them. Company filings from the SEC are checked every day.

How did it do?

What the portfolio returned, and how much of that was your timing rather than the holdings.

Market value What everything you hold is worth today, in this portfolio's currency. $18,736 Net invested The money you have actually put in, minus what you have taken out. $10,785 Profit Value minus what you put in: the money you would have made if you sold everything now. $7,952 Time-weighted return What the portfolio itself earned, with the effect of your deposits removed. +84.3% The portfolio's annual return The time-weighted return expressed as a yearly rate. +10.8% Your money's annual return What your actual euros earned, counting how much was invested at each moment. +10.6% The gap The difference between what the portfolio earned and what your money earned. -0.2 pts Year to date What the portfolio has returned since 1 January. +45.1% Any twelve months The best and worst year this portfolio had, whichever day you started counting. -34.5% to +80.8% Dividend income The cash the companies you hold have actually paid you, added up since your first trade. $937 Yield on cost What the last twelve months of dividends amount to, measured against the money you put in. 1.3%

How much can it hurt?

The size, length and shape of the bad stretches — the half a broker app leaves out.

Annualised volatility How much the portfolio swings, up and down, expressed per year. 25.5% Maximum drawdown The worst fall from a previous high the portfolio ever had. -39.4% Time under water How long the portfolio spent below a previous high. 362 days Typical bad stretch How bad the bad periods are on average, rather than at their single worst. -30.5% Ulcer index Depth and duration of every fall, in one number. 12.5 Value at risk (95%) The loss that one session in twenty was worse than. -2.61% Conditional VaR The average loss on the days that were worse than the VaR. -3.39% What a bad month costs The loss that one month in twenty was worse than. -9.6% Skew Which side the extreme days fall on. 0.04 Tails How often extreme days happen compared with a bell curve. 3.95 Calmar ratio Annual return per unit of the worst fall it took to get it. 0.26

Where is the risk?

Which holdings carry the risk, and whether several positions are really one bet.

Share of risk How much of the portfolio's volatility each position actually causes. 68% for HLX One point more What another percentage point of this holding would do to your volatility. +49 bp Independent bets How many genuinely separate positions you hold, once you account for them moving together. 1.05 of 4 Diversification ratio How much the correlations are actually saving you. 1.14 Equivalent positions How many equal-sized holdings your money is spread across. 3.28 of 4 Correlation How much two holdings move together, from minus one to plus one. 0.29 Currency exposure How much of the portfolio sits in each currency, whatever it is measured in. 100% USD

Was the risk worth it?

Return measured per unit of the risk taken to get it.

Sharpe ratio Return per unit of volatility: how much you were paid for the swings you put up with. 0.41 Sortino ratio The same idea as Sharpe, but counting only the dispersion below the mean. 0.57 Gain to pain Everything the portfolio won, divided by everything it lost. 0.58 Days in the green How often you open this and it is up. 52% At the market's risk What your portfolio would have returned if it ran at the index's volatility. Treynor ratio Excess return per unit of market risk, rather than per unit of total risk. Rolling Sharpe Whether the reward for the risk was steady or came from one good stretch. -2.3 to 3.3

Against a benchmark

How the portfolio compares with an index you choose to measure it against.

Alpha The annual return left over after subtracting what your market exposure explains. Beta How much you move when the market moves. Up and down capture What share of the market's rises — and of its falls — you took. Tracking error How far your portfolio wanders from the index. Information ratio Excess return per unit of the risk taken to get it. Contribution to return How many percentage points of the portfolio's return each holding actually produced. +50.9% from HLX

Your own habits

What your record of buying and selling says about how you decide.

Turnover How much of the portfolio changed hands over a year. 4.7% Win rate How often a position you closed was sold for more than you paid. 67% Expectancy What one closed position returned on average, wins and losses together. +43.5% How long you hold How long the positions you still own have been held, and how much of it is over a year old. 1160 days The disposition effect Selling winners quickly and holding losers, which most people do without knowing it. 1493 vs 994 days

The worked examples use the demo portfolio: four invented companies, generated prices, measured by the same engine as a real portfolio. Open the demo ›