Our Detailed Portfolio Stats and Individual Security Analysis modules are loaded with powerful metrics and dynamic calculations. This glossary serves to clarify specifics around the statistics and values presented in Modeled Performance, Asset Classification, Regional Exposure, and more.
In this Article:
Both our Detailed Portfolio Stats and Individual Security Analysis pages include a summary widget up top to provide a high-level overview of the selected investment or portfolio.
- Price: Previous day’s market close price for the selected security
- Annual Dividend: Incorporates the trailing twelve months (TTM) of regular dividends for the selected security. This is aggregated to reflected all holdings when presented at the portfolio level. Principal distributions and other unique, one-time events are removed from the calculation so as to not overstate the normal dividend yield.
- Expense Ratio: Calculated by using the trailing twelve months (TTM) of expenses for the selected security or aggregated to reflect all holdings when presented at the portfolio level.
- Tax Drag: Tax Drag represents the reduction to the 3-year annualized return resulting from federal income and capital gains taxes. The Tax Drag Ratio is determined by dividing the after-tax return by the pre-tax return and assumes investors pay the maximum federal rate on capital gains and ordinary income rate. (Only available in Individual Security Analysis for Mutual Funds and ETFs at this time).
- Annual Range Midpoint: Median return established by the security or portfolio's annualized 95% Historical Range™. A security or portfolio's potential annual return takes into account return and volatility metrics, dividend payouts, as well as any internal expenses charged by mutual funds and ETFs.
- 95% Historical Range: Worst-case and best-case guardrails based on a historical calculation that incorporates a variety of statistical inputs including the price history, historical expenses, dividends, etc.) down to the holding level.
- Trailing Returns: Trailing return values are based on the specific timeframes denoted and are calculated using the adjusted close price including dividends and expense ratios. Please note that timeframes over 1 year account for compounding growth rates.
Individual Security Analysis summaries also include Financial and Risk statistics.
- Financial Stats:
- YTD Return: Year-to-date return percentage for the selected security, calculated based adjusted close price on January 1st through previous day’s adjusted close price
- 52 Week Range: For stocks and ETFs, this represents the lowest and highest of all the (intra-trading day) prices during the preceding 52 weeks. For mutual funds, this figure is based on daily adjusted close prices during the preceding 52 weeks.
- Market Cap / Net Assets: For individual stocks, Market Cap represents the latest close price multiplied by the number of common shares outstanding. For mutual funds and ETFs, Net Assets represents the sum of the share class net assets of all share classes that are tied to the same Fund. The currency of the share class is not accounted for in the calculation.
- Avg Volume: Represents the total trading volume for the previous 3 months divided by the actual number of trade days of the previous 3 months.
- Total Assets: Represents the sum of total current assets, long-term receivables. Updated quarterly.
- Shares Outstanding: The number of shares outstanding at the company’s year-end. The difference between issued shares and treasury shares. Updated quarterly.
- Float (Floating Stock): Annual shares outstanding less closely held shares (float) for the fiscal year. Updated annually.
- EBITDA: Operating Income Plus Depreciation & Amortization for the trailing twelve months.
- EPS: Fiscal period earnings per share for the trailing twelve months.
- Price to Book: The latest closing price divided by the latest book value per share. Updated daily.
- PE Ratio: Price divided by earnings per share for the period requested, using the most recent close price within that period. Updated daily.
- PEG Ratio: The PERatio divided by the 5-year annual income growth rate. (Null if a company has negative earnings) Updated daily.
- Risk Stats:
- Beta: Excess volatility as compared to the S&P 500, based on monthly returns dating back to June 1, 2004.
- Alpha: Measurement of the selected security’s ability to generate returns in excess of the S&P 500, based on monthly returns dating back to June 1, 2004.
- Annualized Standard Deviation: Measurement of annualized volatility, based on daily returns dating back to Jan 1, 2008.
- Max Drawdown: The maximum percent loss, from peak to trough, based on daily adjusted close prices dating back to June 1, 2004.
The Modeled Performance widget facilitates a deep historical and statistical analysis of your portfolio’s holdings along with the holdings of up to 5 comparators and a benchmark index. The chart plots the performance of the selected security or portfolio, a benchmark and up to 5 added comparisons during the selected timeframe.
The modeled performance table directly below the Modeled Performance widget dynamically adjusts the following statistics to the timeframe and benchmark you select:
- Beta: A comparative statistic expressing the ratio of a portfolio’s volatility to that of the indicated benchmark.
- R Squared: Quantifies the percentage of a portfolio’s movement (both positive and negative) that can be attributed to movement in the indicated benchmark.
- Sharpe Ratio: This “bang-for-your-buck” metric assesses a portfolio’s efficiency, by illustrating its return relative to its risk exposure. This can help to facilitate a comparison of portfolios with drastically different Risk Numbers.
- Batting Average: This statistic will tell you how each portfolio fared at the plate during the “season” you define above. In this case, a portfolio’s batting average is simply the percentage of months during the time period, that it outperformed the indicated benchmark.
- Drawdown: The maximum percent loss, from peak-to-trough, for a portfolio before a new peak is established during the specified time period.
- Standard Deviation: Volatility metric expressing an annualized standard deviation of daily returns for the portfolio during the time period specified.
- Total Return (%): Simply put, how well or how poorly did the portfolio perform? The Total Return calculation is segmented to the timeframe you choose and is rebalanced Quarterly.
- Alpha: Measure of a particular portfolio or investment's ability to create returns in excess of the selected benchmark.
- M Squared: M-squared, also known as Modigliani risk-adjusted performance, measures the returns of the portfolio, adjusted for the risk of the portfolio relative to that of the selected benchmark during the specified time frame.
- Sortino Ratio: A risk-adjusted return figure that separates "total volatility" from "harmful volatility" by measuring how much return a given portfolio or security produces for each unit of downside deviation, rather than total deviation.
- Treynor Ratio: A risk-adjusted return figure that adjusts for systematic risk, or beta, over the specified time frame.
- Return over Max Drawdown (RoMaD): A risk-adjusted return figure that compares returns to the maximum drawdown during the specified time frame. This is especially useful when accounting for portfolios or investments that do not follow a normal distribution of returns.
- Gain-to-Pain Ratio: A risk-adjusted return figure, calculated by dividing the sum of monthly portfolio (or investment) gains by the absolute value of monthly losses, during the specified time frame.
- Time to Recovery: Measures the amount of time between a portfolio or investment's maximum drawdown and its recovery - defined as the day it exceeds its previous peak value.
High-level asset class data (Stocks, Bonds, Cash, Other) for ETFs and mutual funds are combined with equity and bond sector data in a single visual. The high-level equity category is divided into 11 sector categories, while bonds are divided into 4 sectors. The table area features sector data for the selected benchmark.
- Maturity: A measure of the number of years until a bond matures. In the case of a portfolio of bonds, it is the weighted average of the Maturity of the bonds in the portfolio. The Maturity value displayed represents only those holdings that are a mutual fund or exchange traded fund. The maturity represented is the Average Effective Maturity which takes into consideration calls, pre-payments, puts, and adjustable coupons.
- Duration: A measure of the interest rate sensitivity for a bond. In the case of a portfolio of bonds, it is the weighted average of the Duration of the bonds in the portfolio. The Duration value displayed represents only those holdings that are a mutual fund or exchange traded fund. The Duration value shown is the Effective Duration which takes into consideration calls, pre-payments, puts, and adjustable coupons.
Regional exposure for ETFs and mutual funds is broken down into the following seven geographic regions: North America, Latin America, Europe, Asia, Middle East, Africa, and Oceania. This chart and the corresponding table also display regional exposure data for the selected benchmark.
Portfolio Stats Only
Our interactive chord diagram provides a snapshot of the relationships between the largest allocations in a portfolio. This helps an advisor to visually reference strong correlations (or anti-correlations) between a portfolio’s most relevant holdings.
The Diversified Risk widget measures the impact of anti-correlation between the various holdings of the portfolio and translating that data into the language of the Risk Number. You’ll be able to identify what a portfolio’s Risk Number would have been without considerations toward diversification. This, along with the portfolio’s actual Risk Number, allows us to condense a portfolio’s overall diversification into a single number.
95% Historical Capture
Hedging solely to reduce downside risk does not tell the entire story. The potential outcomes for a portfolio matter just as much on the upside as they do on the downside, and it's important to frame that in relation to the portfolio's selected benchmark. The percentages in 95% Historical Capture compare the portfolio's 95% Historical Range values to that of the benchmark and allow an advisor to tell that story.
Risk and Reward
The Risk and Reward scatterplot helps you paint the picture of portfolio risk efficiency and gives you the flexibility of shifting time frames and diving into portfolio composition (Portfolio Stats only). This chart plots the average annual return and annualized standard deviation for the selected portfolio or security.
Size and Style
We've categorized the "market cap class" of the portfolio's (or mutual funds) equity exposure into Small, Mid, and Large Cap, and the "investment style class" of the portfolio's equity exposure into Value, Blend, and Growth. Evaluation of investment style is based on a number of factors including revenue growth rate, earnings growth, EPS, price-to-earnings ratio, and price-to-book, among others.
Reports allow the opportunity to print either an Overview or a Comparison report for portfolios or an Individual Security.
Want to find out more? Click Here for the Individual Security Analysis knowledge base article.