Glossary
Plain-English definitions of the metrics and concepts used throughout this site.
Sharpe Ratio
A measure of risk-adjusted return: how much extra return a portfolio earned per unit of total volatility.
Sortino Ratio
Like the Sharpe Ratio, but it only penalizes downside volatility instead of all volatility.
Max Drawdown
The largest peak-to-trough decline a portfolio experienced before it recovered to a new high.
CAGR (Compound Annual Growth Rate)
The single steady annual growth rate that would take a starting value to its ending value over a period.
Volatility
How much an investment's returns swing up and down over time, usually measured as annualized standard deviation.
Rebalancing
Periodically buying and selling holdings to bring a portfolio back to its original target weights.
Correlation
A measure from -1 to +1 of how closely two assets' returns move together.