Definitions
Here you will find definitions of important terms we use.
Alpha
Alpha is a measure of a portfolio's performance that compares the return achieved by the portfolio with its expected return based on its level of risk. In other words, Alpha measures the excess return of a portfolio beyond what would be expected given its level of systematic risk as measured by its Beta.
A positive Alpha indicates that the portfolio has performed better than expected given its level of risk, while a negative alpha indicates that the portfolio has under-performed. Alpha is often used to assess the skill of fund managers (or the accuracy of ratings) in generating excess returns above the market.
It's important to note that Alpha is not a guarantee of future performance, and can be impacted by various factors such as market conditions, fees, and trading costs. Therefore, investors should consider other factors in addition to alpha when evaluating performance
Beta
Beta is a measure of the volatility, or systematic risk, of a particular stock or portfolio in relation to the overall market. It compares the movement of the stock or portfolio's returns with the movement of the market returns as a whole, and is often used as a benchmark for assessing an asset's performance.
Beta of 1 indicates that the stock or portfolio has the same level of volatility as the market, while a Beta greater than 1 indicates higher volatility and a Beta less than 1 indicates lower volatility. A negative Beta means that the stock or portfolio moves in the opposite direction of the market.
Beta is a useful tool for investors because it allows them to assess the level of risk associated with a particular investment. A high Beta indicates higher risk, while a low Beta indicates lower risk. This information can be used to make informed decisions about portfolio construction and risk management.
It is important to note that Beta is not a complete measure of an investment's risk, as it only considers systematic, or market, risk. Other types of risk, such as company-specific or sector-specific risk, are not captured by Beta. Therefore, investors should use other measures in addition to Beta when evaluating risk.
Return p.a. (%)
The annualized return of a stock or portfolio through time, also known as the Compound Annual Growth Rate (CAGR), is a measure of the average annual return earned by an investor over a specified period.The annualized return is calculated by first determining the total return earned by an investor in the stock or portfolio over the entire holding period, which includes both price appreciation and any dividends or distributions paid out. This total return is then adjusted to an annualized rate by taking into account the length of the holding period.
The annualized return through time is an important metric for investors because it provides a more accurate representation of the investment's performance than a simple average return. It takes into account the effects of compounding and allows investors to make better-informed decisions about their investment strategies.
Daily win rate
The daily win rate of a portfolio or stock is the percentage of days in a certain period during which it outperforms another stock or portfolio. This frequency is measured in days and calculated by dividing the number of days in which the stock or portfolio outperforms the benchmark by the total number of days in the period. For example, if a stock or portfolio beats the S&P500 on three out of five market days in the prior week, its daily win rate would be 60%.
Win rate (in general)
The general win rate of a stock or portfolio over a given period of time T is the percentage of t-length periods within T during which the stock or portfolio outperforms a benchmark. Note that t can be any fixed length of time, such as a week, a month, or a quarter, and T can be any length of time longer than t. Hence, the general win rate is a measure of the strength of the stock or portfolio relative to the benchmark across all t-length periods within the period T.
Rank 1 vs. S&P 500
Return is utilized to discern between winning and losing scenarios. If Rank 1 has a return greater than the S&P 500, it signifies a win; the opposite denotes a loss.
Winning days
The number of market days a specific rank outperformed the S&P 500 over a given period.
Losing days
The number of market days a specific rank underperformed the S&P 500 over a given period.
Winners
The number of stocks that experienced positive returns on the previous market day.
Losers
The number of stocks that experienced negative returns on the previous market day