Metrics

What each number on the investments dashboard measures.

• About these numbersWhat the figures on the Performance tab can currently be trusted for, and what is still being reworked. Read this before drawing conclusions from a return percentage.
• VolatilityVolatility measures how much your portfolio moves around its own average. It is the raw material for most of the other risk measures on the Performance tab.
• Maximum drawdownMaximum drawdown is the worst peak-to-trough fall your portfolio has actually had in the selected window. It measures the loss you lived through, not the one a model predicts.
• Sharpe ratioThe Sharpe ratio measures how much return a portfolio produced for each unit of volatility it took on. Here is how Gylder calculates it and how to read it.
• Sortino ratioThe Sortino ratio is the Sharpe ratio with the upside taken out of the risk measure. It divides excess return by downside deviation, so gains no longer count against you.
• Calmar ratioThe Calmar ratio sets your annualised return against your worst peak-to-trough fall. It asks what the return was worth relative to the deepest hole you had to sit through.
• Value at riskValue at risk estimates the one-month loss your portfolio stays above 95% of the time, read off your own history rather than a model of it.
• BetaBeta measures how much your portfolio tends to move when the benchmark moves. It is the first of the benchmark-relative measures, and the one the others build on.
• AlphaAlpha is the return your portfolio produced beyond what its exposure to the benchmark would have delivered on its own. It is return that beta does not explain.
• Tracking errorTracking error measures how much your portfolio's returns diverge from the benchmark's, day to day. It is the volatility of the gap rather than of the portfolio.
• Information ratioThe information ratio divides how much you beat the benchmark by how erratically you did it. It measures consistency of outperformance, not size.
• Upside and downside captureCapture ratios split your benchmark relationship in two: how much of the benchmark's gains you captured on its good days, and how much of its losses you took on its bad ones.
• Annualised returnThe compound growth rate implied by where your portfolio started and finished, expressed per year. It makes periods of different lengths comparable, and hides everything that happened in between.