Financial Glossary

The annualized rate of return that an investment would have needed to grow from its beginning value to its ending value, assuming profits were reinvested at the end of each year.

A measure of risk-adjusted performance calculated by subtracting the risk-free rate from the portfolio return, then dividing by the standard deviation. Higher values indicate better risk-adjusted returns.

The maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained. It measures the worst-case scenario for an investor who bought at the peak.

Similar to the Sharpe Ratio but only penalizes downside volatility. It uses downside deviation instead of standard deviation, making it more relevant for investors who are concerned about losses rather than overall volatility.

The ratio of the average annual rate of return to the maximum drawdown. It measures how well an investment compensates for the risk of its largest decline.

A measure of the dispersion of returns. Higher volatility means larger price swings. It is calculated as the annualized standard deviation of monthly returns.

The percentage of time periods (months) where the portfolio had positive returns. A higher win rate indicates more consistent positive performance.

The ratio of total profits to total losses. A profit factor greater than 1 means the portfolio generates more profit than loss. Values above 1.5 are considered good.