Metrics explainer

How much the scheme compounded over a window. Start here, then check path risk.

• Annualized Return
• Average Monthly Return
• Best Month Return
• Best Quarter Return
• Best Rolling 1Y Return
• Best Rolling 5Y Return
• Best Year Return
• CAGR (Compound Annual Growth Rate)Long-term growth comparison across schemes and horizons.
• Calendar Year Returns
• Median Monthly Return
• Median Rolling 3Y Return
• Net-of-Fees ReturnComparing what investors likely earn after fees.
• Rolling 1-Year Return
• Rolling 3-Year Return
• Rolling 5-Year Return
• Total Return
• XIRR (Money-Weighted Return)Realistic investor experience when capital is deployed in tranches.

Depth, duration, and tail of losses. Use these before you trust a headline CAGR.

• Average Drawdown
• Conditional VaR (Expected Shortfall)
• Downside Deviation
• Drawdown Duration
• Drawdown Frequency
• Kurtosis
• Max Consecutive Losses
• Max DrawdownUnderstanding worst historical loss and suitability for your risk tolerance.
• Rolling Drawdowns
• Rolling Volatility
• Tail Risk Score
• Time to Recovery
• Ulcer Index
• Value at Risk (VaR)
• Volatility (Standard Deviation)
• Worst Month Return
• Worst Quarter Return
• Worst Rolling 1Y Return
• Worst Rolling 3Y Return
• Worst Rolling 5Y Return
• Worst Year Return

Whether the path was smooth enough to live with: hit rate, risk-adjusted ratios, month mix.

• Calmar RatioComparing ‘return per unit of worst loss’ for capital-preservation preferences.
• Consistency Score
• Expectancy
• Gain-to-Pain Ratio
• Hit Rate
• Negative Months
• Omega Ratio
• Positive Months
• Profit Factor
• Return Dispersion
• Rolling Sharpe
• Sharpe RatioComparing risk-adjusted returns when volatility is the main risk concern.
• Skewness
• Sortino RatioComparing downside-focused risk-adjusted returns for drawdown-sensitive investors.
• Win/Loss Ratio

Skill versus the stated index: alpha, capture, tracking error, and active risk.

• Active Return
• Active Risk
• Alpha
• Batting Average
• Beta
• Beta-Adjusted Return
• Correlation to Benchmark
• Down Capture Ratio
• Information RatioAssessing benchmark-relative skill after accounting for active risk.
• R-squared
• Tracking ErrorUnderstanding how tightly a scheme follows or deviates from its benchmark.
• Treynor Ratio
• Up Capture Ratio

Implementation facts that change what the return path cost: turnover, cash, concentration.

• Cash Exposure
• Portfolio TurnoverDetecting churn, potential cost/tax drag, and style instability.
• Sector Concentration
• Top-10 Concentration