Portfolio Performance Chart

Portfolio Performance Inputs

This box focuses on portfolio value, i.e., how much an initial investment of the amount specified below (in USD) would be worth over time, given price fluctuations.

The slider below modifies the smoothing parameter used in the LOESS function that produces the lines on the scatterplot.

The table below provides metrics by which we can compare the portfolios. For each column, the asset that performed best by that metric is colored green.

Portfolio Performance Summary Table

Investment Returns Chart

Investment Returns Inputs

This box focuses on rate of return calculated at the level of detail specified below.

The default smoothing parameter for the returns chart is slightly higher than the default for the portfolio performance chart given that returns data are generally aggregated.

Variance-Adjusted Returns Chart

Variance-Adjusted Returns Inputs

This box focuses more specifically on the average rate of return in excess of the risk free rate per unit of volatility, as captured by variations of the Sharpe Ratio. Be sure your chosen risk free rate matches up with your selected time period. Default is 30 basis points for the weekly risk free rate.

The confidence level chosen is used in the Sharpe Ratio calculations.