Performance & risk indicators

  • Volatility Volatility is a statistical measure of the dispersion of returns for a given security or market index (annualized and calculated on daily basis).
  • Sharpe ratio → the ratio measures the relationship of reward to risk to risk in an investment strategy.
  • Beta → the beta of an asset measures its sensitivity to movements in the market. It approximates the overall volatility of a security’s returns against the returns of a relevant benchmark.
  • Maximum drawdown → A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.

Equities metrics:

  • Market capitalization→ Market capitalization, or market cap, is a simple metric based on stock price. To calculate a company’s market cap, multiply the number of shares outstanding by the current price of a single share.
  • P/B → Companies use the price-to-book ratio (P/B ratio) to compare a firm’s market capitalization to its book value. 
  • P/E 1FY → 1 Forward Years → P/E ratios are used by investors and analysts to determine the relative value of a company’s shares in an apples-to-apples comparison.
  • Dividend yield → The dividend yield, expressed as a percentage, is a financial ratio (dividend/price) that shows how much a company pays out in dividends each year relative to its stock price.
  • FCF Yield → Free cash flow (FCF) represents the cash a company generates after accounting for cash outflows to support operations and maintain its capital assets.
  • Net debt/EBITDA → The net debt-to-EBITDA ratio is a debt ratio that shows how many years it would take for a company to pay back its debt if net debt and EBITDA are held constant.
  • D/E → debt to equity → It is a measure of the degree to which a company is financing its operations through debt versus wholly owned funds.
  • Discount  Holdings → A discount at which a Holding company generally trades (market value) compare to its assets fair value (intrinsic value).

Fixed-Income metrics:

  • Yield-to-Maturity → Yield to maturity (YTM) is the total return anticipated on a bond if the bond is held until it matures.
  • Duration → Duration is a measure of the sensitivity of the price of a bond or other debt instrument to a change in interest rates.
  • Maturity → Maturity is the date on which the life of a transaction or financial instrument ends, after which it must either be renewed, or it will cease to exist.