Portfolio metrics glossary
Understand the metrics highlighted in Wallible and jump to related deep dives.
Wallible surfaces a compact set of portfolio, performance, and risk indicators in the tracker and backtest views. Use the tables below to remember what each number means and, when available, open the blog article that explains the full methodology. Entries marked as “Coming soon” will receive a dedicated deep dive shortly.
Portfolio snapshot
| Metric | What it shows | Deep dive |
|---|---|---|
| Net value (NAV) | Market value of all holdings plus cash converted into the portfolio currency. | N/A |
| Investment | Cumulative external cash you injected (deposits minus withdrawals). | N/A |
| Net value adjusted by investment | NAV restated by adding back future cash flows so that it reflects today’s total invested capital across the past. | N/A |
| Cash | Running balance of cash movements such as account transactions, dividends, and fees. | N/A |
Performance metrics
| Metric | What it shows | Deep dive |
|---|---|---|
| Money-Weighted Rate of Return (MWRR) | Return that accounts for the timing and size of deposits and withdrawals. | Money-Weighted Rate of Return |
| Time-Weighted Rate of Return (TWR) | Compound growth of the portfolio ignoring the impact of external cash flows. | Time-Weighted Rate of Return |
| Cumulative return | Total percentage gain or loss over the selected window. | CAGR and cumulative performance |
| Compound annual growth rate (CAGR) | Average yearly growth rate required to reach the observed cumulative return. | CAGR and cumulative performance |
| Annualized return | Periodic return scaled to a yearly figure to enable comparisons between strategies. | Time-Weighted Rate of Return |
| Expected return | Arithmetic average of the periodic returns inside the selected window. | Learn more |
Risk and risk-adjusted metrics
| Metric | What it shows | Deep dive |
|---|---|---|
| Annualized volatility | Standard deviation of periodic returns scaled to one year, a proxy for variability. | Volatility metrics |
| Downside volatility (semi deviation) | Standard deviation calculated only on negative returns, highlighting downside noise. | Volatility metrics |
| Sharpe Ratio and Sortino Ratio | Risk-adjusted returns using total volatility (Sharpe) and downside volatility (Sortino). | Sharpe and Sortino ratios |
| Calmar Ratio and Ulcer Index | Balance between growth and worst drawdown (Calmar) and persistence of drawdowns (Ulcer). | Calmar Ratio and Ulcer Index |
| Ulcer Performance Index | Combines excess return with the Ulcer Index to judge reward relative to drawdown stress. | Coming soon |
| Recovery Factor | Measures how efficiently the portfolio climbed back from the deepest drawdown. | Coming soon |
| Drawdown curve and Maximum Drawdown | Percentage drop from peak equity and its worst historical occurrence. | Maximum drawdown |
| Value at Risk (VaR) 95% / 99% | Estimated loss threshold that should not be exceeded with 95% or 99% confidence. | Coming soon |
| Expected Shortfall (CVaR) 95% / 99% | Average loss when returns breach the VaR threshold, highlighting tail risk. | Coming soon |
| Skewness and Kurtosis | Shape of the return distribution (asymmetry and tail heaviness). | Coming soon |
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