Understanding the Portfolio Report

Link to Terms in the Summary Tab

Link to Additional key terms in Rina Report

Rina's Portfolio Evaluator has tabbed worksheets that are visible and can be accessed along the bottom of the screen. A brief description of the information accessed from each of the tabs and their purpose is listed below. They are listed from left to right as they appear on the screen.

Summary: this tab contains a brief overview of all of the reports/markets in the portfolio so that the performance results can be quickly reviewed from several perspectives. The various perspectives include: Portfolio Overview, Performance Ratios, Equity Curve Analysis, and Allocation Analysis.

Trades: list every trade that occurred in the portfolio for the time period contained in the report. The information includes the date, price, number of contracts, percent cumulative profit, the entry and exit efficiency, the total efficiency, and the name of the system/market that generated the trade.

Analysis: this tab contains several key performance ratios for the portfolio. The information contained here also closely resembles the information found in the TradeStation 2000i performance report. The detailed performance analysis presented on this page represents the performance of the entire portfolio. The results are not presented by each system/market as they are in the Summary tab discussed above. In addition, many performance measures found here for the entire portfolio are not in the Summary tab. Some new performance measures added to this report that were not present in some of the earlier versions of Portfolio Evaluator include the Semi Deviation Sharpe Ratio and Average Trade expressed as a percent of price.

Annual: annual performance statistics are presented on a mark-to-market basis. In addition, annual rolling period analysis on a mark-to-market basis is displayed

Monthly: this tab includes a monthly average analysis of the portfolio performance on a mark-to-market basis. Data for the monthly period analysis on a mark-to-market basis is also presented. Finally, rolling period monthly mark-to-market performance is displayed. For all periods the data presented includes: net profit, percent gain, profit factor, the number of trades, and percent profitable.

Weekly: includes the weekly mark-to-market performance for the portfolio analyzed. Performance measures integrated in each weekly period include: net profit, percent gain, profit factor, the number of trades, and percent profitable. Rolling period weekly performance analysis is also displayed.

Daily: includes the daily mark-to-market performance of the portfolio analyzed. Performance measures incorporated each day include: net profit, percent gain, profit factor, the number of trades, and percent profitable. Rolling period daily performance analysis is also displayed.

Win/Loss: this tab displays analysis of both winning and losing trades. Information available includes: the number of winning trades, average winning trade, the average winning trade within one Standard Deviation, coefficient of variation, the largest profit and its percent of net profit, the largest consecutive profit and its percent of net profit, and information concerning consecutive winning trades. The same information is presented for losing trades.

Time: this tab includes an overview of the systems trading activity in relation to time. Information presented includes: time in the market expressed as an absolute and percentages, average time in and between trades, and the average time between winning and losing trades. In addition, equity curve analysis displaying the time between equity peaks is displayed. This information is useful to determine if a portfolio’s activity meets a trader’s preferences. This is especially true for time in the market and time between equity peaks. Some traders may not be inclined to trade a portfolio that trades infrequently or requires long periods between new equity highs.

Graphs: access to portfolio performance graphs is obtained by clicking on this tab. Once you click on the Graphs tab you have several options determining which graph to view. Two drop down menus appear from which you select the graph for viewing. The drop down menu located on the left is used to select the category or type of graph you wish to view. Choices include:

Equity Graphs

Trade Graphs

Efficiency Graphs

Drawdown/Run-up Graphs

Asset Allocation Graphs

Exposure Graphs

With the right drop-down menu you can select several graphs that are available for each category. For example, under Equity Graphs you have the following options:

Equity Curve Line

Equity Curve Area

Detailed Equity Curve

Underwater Equity Curve

Monthly Net Profit

Monthly Rolling net Profit

Average Profit by Month

Correlation: This tab presents a correlation matrix for all of the components of a portfolio. The data points used for the correlation study are the monthly equity returns.

Return Matrix: This tab displays a matrix of monthly returns calculated by taking the profit for the month (on a mark to market basis) and then dividing it by the initial capital (fixed capital) that was set for the portfolio.

Returns are displayed by month for the entire portfolio and also for each component of the portfolio. One key difference between this report and some other calculations in the portfolio is that this report uses the initial/fixed amount of capital to derive the monthly returns, not the compounded/accumulated equity.

The Return Matrix calculations will vary depending on the whether the setting in the Options Tab is set to Enable Initial Capital for Portfolio or whether initial capital for individual markets is used. Brief examples are found in the tables below, where the following returns listed are assumed to be used in the examples in both tables below (however, portfolio capital is used in the first and the initial capital setting in the second).