At the market's risk
What your portfolio would have returned if it ran at the index's volatility.
How it is computed here
The risk-free rate plus your Sharpe ratio multiplied by the index's volatility — Modigliani's adjustment, which is the Sharpe ratio stated as a percentage.
Worked example
This one compares the portfolio with an index you choose, and the demo portfolio has none set — so there is no honest example to show here. On your own portfolio, choose a benchmark on the dashboard and it appears.
Where it misleads
It assumes you could borrow and lend at the risk-free rate. Nobody can. It is a comparable yardstick, not a return you could have collected.