Key Portfolio Characteristics

Portfolio KPIs

To select a quant portfolio portfolio, you need to consider various characteristics. First that you can start with are KPIs:

In the KPIs you will find information about:

• YTD (year-to-date) return:
  • return that the portfolio demonstrated since begin of this year. Read more on Investopedia
• 3Y (3-year) & 5Y (5-year) returns
• CAGR (Compound Annual Growth Rate):
  • your investments' average annual growth over a given period. It shows you the average rate of return on your investments over a year. Read more on Investopedia
• Sharpe Ratio:
  • the Sharpe Ratio compares the return of an investment with its risk. Essentially, it tells you how much more return you are getting for taking on additional risk. A Sharpe Ratio above 1 is considered good, indicating that the investment returns are high relative to their risk. Read more on Investopedia
• Sortino Ratio:
  • the Sortino Ratio is a measure similar to Sharpe Ratio, used to evaluate the performance of an investment relative to the downward risk it takes. Sortino Ratio greater than 1 is considered good, indicating that the investment is achieving a good return while minimizing negative volatility. Read more on Investopedia
• Alpha: Alpha (α) is a term used in investing to describe an investment strategy's ability to beat the market, or its "edge." Alpha is thus also often referred to as “excess return” or the “abnormal rate of return” in relation to a benchmark, when adjusted for risk. Alpha is often used in conjunction with beta (the Greek letter β), which measures the broad market's overall volatility or risk, known as systematic market risk. Read more on Investopedia
• Beta: beta is a measure of a stock's volatility in relation to the overall market. By definition, the market, such as the S&P 500 Index, has a beta of 1.0, and individual stocks are ranked according to how much they deviate from the market. A stock that swings more than the market over time has a beta above 1.0. If a stock moves less than the market, the stock's beta is less than 1.0

Performance

Once you've had a look at Portfolio KPIs, it makes sense to check out further characteristics:

• Overall performance
  • You may select it as YTD, 1Y, 2Y, 5Y, 10Y as well as the full history

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• Yearly and monthly performance
  • Demonstrates close-up look at portfolio's behaviour in a particular year or month

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• Drawdown
  • Which shows how much did the portfolio go down at a particular time.
  • Example: A value of 20% over a period from 2004 to 2020 means that the portfolio lost a maximum of 20% in value.

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• Investment quote
  • Measure between 0 and 1 indicating which portion of a total portfolio's amount has been invested at a time, where 0 means that nothing is invested and 1 means that all portfolio balance has been invested

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• Rolling 3 year return
  • Shows a total return of a 3 year period.
  • Example: 2019-2021 value of 111.9 means that the portfolio with a starting investment of 10.000 EUR at the beginning of 2019 would have become 21.190 EUR (10.000 EUR + 10.000 x 111.9%) by the end of 2021.

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