1. Inception ReturnPortfolio return since your first trade. The starting value here is 1.0. So if Inception return = 1.05, the portfolio has returned 5%.
2. S&P Inception ReturnS&P 500 return since your first trade. The starting value here is 1.0. So if S&P Inception return = 0.95, the portfolio has returned -5%.
3. Alpha Vs. S&PPortfolio Inception Return minus S&P inception return plus one. This shows your outperformance or underperformance relative to the S&P. The "plus one" is to make the chart more legible by placing everyone on the same scale/axis.
4. Gross TradedSum all trades placed within an hour on an absolute basis. If a portfolio bought $100 of FB then sold $90 of FB then bought $100 of GOOGL this would be $290.
5. Net TradedSum trades placed within the hour on a net basis. If a portfolio bought $100 of FB then sold $90 of FB then bought $100 of GOOGL this would be $110.
6. Gross Exposure PercentSum all positions on an absolute basis. For instance if a portfolio has three positions: FB 30%, GOOGL 20%, and AMZN -20%. The gross exposure percent is 70%.
7. Net Exposure PercentSum all positions on a net basis. For instance if a portfolio has three positions: FB 30%, GOOGL 20%, and AMZN -20%. The net exposure percent is 30%.
8. Long Exposure PercentSum of all long positions. For instance if a portfolio has three positions: FB 30%, GOOGL 20%, and AMZN -20%. The long exposure percent is 50%.
9. Short Exposure PercentSum of all short positions. For instance if a portfolio has three positions: FB 30%, GOOGL 20%, and AMZN -20%. The short exposure percent is -20%.
10. Annualized Total ReturnInception Return over the trailing year. If the portfolio is new and doesn't have Inception Return for a year, we annualize the Inception Return. I.e. If there is 31 days of history and the Inception Return is 3%, take 365/31* 3% = 36%.
11. Annualized Total VolatilityThe volatility of Inception return over the last year. If there is less than a year of data we annualize the volatility. We calculate volatility as follows: take daily change in Inception Return, find the standard deviation of those daily changes in Inception Return over a 365 day period (or annualized if data is light) then turn that daily move into an annual move (multiply by square root of 252). Giving us an upper and lower bound of Inception Return that will happen 68% of the time.
12. Sharpe RatioAnnualized Total Return less risk free rate (2%) divided by Annualized Total Volatility. A good Sharpe ratio is greater than 1. Don't be fooled by extremely high or low Sharpe ratios in early data. Sharpe Ratios can be very high or low depending on how your first days of trading are going because we annualize everything. It will smooth out over time.
13. Position SluggingProfits on winning positions / losses on losing positions.
14. Position Hit RateTotal profitable positions / total positions
15. Active PositionsTotal active positions in the portfolio right now.
16. 365 Day Hit RateDays portfolio was up / total days portfolio was active over last 365 days.
17. 365 Day SluggingOn days portfolio was up how much was it up on average / on days portfolio was down how much was it down on average over last 365 days.
18. Alpha AlgoSee our medium article
19. ROI (Volume Traded)Total realized and unrealized profit on the position divided by the absolute of the total volume traded on that symbol.
20. ROI (Realized Trades)Average selling price divided by the average buying price minus one. This is a measure of the realized gains so far, if an analyst has yet to sell any asset this will measure as of the current price.
21. Avg. BoughtThe weighted average price for all buys on that symbol.
22. Avg. SoldThe weighted average price for all sells on that symbol.