Investment Metrics Overview
Browse key metrics used in the Portfolio Backtesting and Optimization Tools, covering performance, risk, and benchmark comparisons to enhance your investment decisions.
Performance Metrics
Performance Metrics include a variety of measures designed to evaluate the returns and performance of an investment or portfolio, both in absolute terms and in relation to the risk taken. These metrics help assess how well an investment has performed over different time periods, considering various risk factors.
Returns
Returns focus on assessing the raw returns of an investment or portfolio over different periods. These metrics provide an understanding of the total or average return over time, giving insight into the overall performance.
Risk-adjusted Returns
Risk-adjusted Returns evaluate how much return an investment provides for the level of risk taken. These metrics adjust returns based on various types of risk, such as volatility, downside risk, or drawdowns, helping investors assess whether the return is appropriate given the risks involved.
Detailed Returns
Detailed Returns focus on breaking down performance into specific time periods and extreme outcomes, such as the best and worst days, months, and years. These metrics offer a granular view of an investment's performance, capturing both positive and negative extremes.
Risk Metrics
Risk Metrics include measures that assess the risk associated with an investment or portfolio. These metrics focus on evaluating the volatility, potential for loss, and the likelihood of adverse outcomes, helping investors understand the risk profile of their investments.
Volatility-based Metrics
Volatility-based Metrics focus on measuring the variability of an investment' returns, commonly used as a proxy for risk. These metrics highlight how much an investment' value fluctuates over time, indicating the level of uncertainty or risk involved.
Drawdown Metrics
Drawdown Metrics focus on the peak-to-trough declines in an investment' value, offering insight into the depth and duration of losses during downturns. These metrics are critical for understanding an investment' worst-case scenarios and how it behaves in market downturns.
Risk of Loss Metrics
Risk of Loss Metrics assess the likelihood and extent of potential financial losses. These metrics are used to understand the risk of significant losses under specific conditions, offering a clearer picture of how much capital could be lost in adverse scenarios.
Benchmark Comparison Metrics
Benchmark Comparison Metrics evaluate how a portfolio performs relative to a benchmark, which is essential for assessing whether an investment strategy is underperforming or outperforming the broader market. These metrics help gauge the effectiveness of an investment strategy in comparison to market movements.
Benchmark Comparison Metrics
These metrics compare portfolio performance to benchmarks, measuring excess returns, risk characteristics, and other comparative performance aspects.