CapIntel's powerful new addition, Historical Scenarios offers details analytics. In this article, we will break down the calculations used for the key metrics shown in your comparison and client presentations.
Value Change Over Time:
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Portfolio Value at time t = sum(weight_i × price_i at time t) How portfolio value evolves throughout the scenario. |
Performance Change % (Total Return/Cumulative):
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Return (%) = ((End Value - Start Value) / Start Value) * 100 Percent change in portfolio value from scenario start to end. |
Performance Change % (Annualized):
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(Ending Value / Beginning Value)^(1 / n) - 1 Percent change in portfolio value from scenario start to end (annualized). |
Drawdown (Max Loss from Peak):
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Max Drawdown is summarized in:
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Volatility (Standard Deviation of Returns):
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Volatility - sqrt( (1 / (N - 1)) = sum((r_t - avg_r)^2) ) (Annualized: Volatility - sqrt(252) ) Measures return fluctuations during the scenario. |
Sharpe Ratio:
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(Average Daily Return - Daily Risk-Free Rate) / Std Dev of Daily Returns * √252 Ratio of return over risk. |
Check out our guide on using Historical Scenarios for your client comparisons and presentations here for more information!