Investment Metrics Guide: Returns, Risk & Drawdowns
Understand Wallible investment metrics, including return, volatility, drawdown, and risk-adjusted indicators, with direct links to methodology articles.
In the Wallible tracker and simulator we show a compact set of portfolio, return and risk indicators. The tables below help you remember what each entry means and, when available, take you to the blog article that explains the complete methodology. Entries marked as “Coming Soon” will soon receive dedicated insights.
Portfolio status
| Metric | What does it indicate? | In-depth analysis |
|---|---|---|
| Net Value (NAV) | Market value of all positions plus cash converted to portfolio currency. | N/A |
| Investment | Cash injected from outside (deposits minus withdrawals) cumulative over time. | N/A |
| Adjusted net worth per investment | NAV recalculated by adding future cash flows so as to reflect the current capital invested also in the past. | N/A |
| Earnings | Balance of liquidity movements (account movements, dividends, commissions). | N/A |
Performance metrics
| Metric | What does it indicate? | In-depth analysis |
|---|---|---|
| Money-Weighted Rate of Return (MWRR) | Return that considers times and amounts of deposits and withdrawals. | Money-Weighted Rate of Return |
| Time-Weighted Rate of Return (TWR) | Compound portfolio growth ignoring external cash flows. | Time-Weighted Rate of Return |
| Cumulative return | Total percentage gain or loss in the selected window. | CAGR and cumulative performance |
| CAGR (compound annual growth rate) | Average annual growth needed to obtain the observed cumulative return. | CAGR and cumulative performance |
| Annualized return | Periodic performance reported on an annual basis to compare different strategies. | Time-Weighted Rate of Return |
| Expected return | Arithmetic average of the periodic returns in the selected window. | Find out more |
Risk metrics and adjusted risk
| Metric | What does it indicate? | In-depth analysis |
|---|---|---|
| Annualized volatility | One-year standard deviation of periodic returns, a proxy for variability. | Volatility metrics |
| Downside volatility (semi-deviation) | Standard deviation calculated only on negative returns, highlights the downward variability. | Volatility metrics |
| Sharpe Ratio and Sortino Ratio | Risk-adjusted return using total volatility (Sharpe) or downside volatility only (Sortino). | Sharpe and Sortino ratios |
| Calmar Ratio and Ulcer Index | Relationship between growth and worst drawdown (Calmar) and intensity of the loss phases (Ulcer). | Calmar Ratio and Ulcer Index |
| Ulcer Performance Index | Combine the excess return with the Ulcer Index to evaluate how much the drawdown stress is compensated. | Ulcer Performance Index |
| Recovery Factor | It measures how effectively the portfolio recovers from the deepest drawdown. | Coming soon |
| Drawdown curve and Maximum Drawdown | Percentage descent from the peak and its most severe occurrence. | Maximum drawdown |
| Value at Risk (VaR) 95% / 99% | Estimated loss that should not be exceeded with 95% or 99% confidence. | Coming soon |
| Expected Shortfall (CVaR) 95% / 99% | Average loss when the return exceeds the VaR threshold, a measure of tail risk. | Coming soon |
| Skewness and Kurtosis | Shape of the return distribution (skewness and weight of the tails). | Coming soon |
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