Chart Metrics
Five time-series charts are stacked vertically with synchronized zoom/pan in the financial data platform dashboard. Together they provide a comprehensive view of index return, momentum, risk, and risk-adjusted performance over time.
Synthetic Portfolio Return (%)
Equal-weight portfolio holding all index constituents, rebased to 0% at period start.
Formula for cumulative portfolio return
Interpretation: Positive slope = index gaining value. A flattening curve signals exhaustion.
Rolling 30d Return (%)
Trailing 30-day cumulative return, plotted daily. Uses a baseline series (green above zero, red below).
Interpretation: Positive = recent momentum is bullish. Sustained values > +5% indicate a strong trend. Zero crossings mark regime changes.
Drawdown from Peak (%)
Distance from the running all-time high of the cumulative factor. This metric is always less than or equal to zero.
Formula for drawdown
Interpretation: Depth shows tail risk. Recovery time (from trough back to 0%) measures market resilience.
Drawdown severity classification
| Drawdown | Severity |
|---|---|
| 0% to −5% | Normal fluctuation |
| −5% to −10% | Correction |
| −10% to −20% | Bear territory |
| > −20% | Severe bear market |
Annualized Volatility (%)
Rolling 30-day standard deviation of daily returns, annualized by multiplying by the square root of 252 trading days.
Formula for annualized 30-day volatility
A horizontal dashed line marks the historical average for the selected index.
Volatility regime classification
| Volatility | Regime |
|---|---|
| < 15% | Low / calm |
| 15–25% | Elevated |
| > 25% | High risk |
| > 40% | Crisis-level (e.g. 2020 COVID, 2022 rate shock) |
Rolling 30d Sharpe Ratio
Quote
“The Sharpe ratio is the most widely used measure of risk-adjusted return because it adjusts for total risk, not just systematic risk.”
— William Sharpe
Risk-adjusted return: rolling return divided by rolling volatility. This measures how much return the index generates per unit of risk.
Formula for rolling 30-day Sharpe ratio
Sharpe ratio interpretation
| Sharpe | Interpretation |
|---|---|
| > 2.0 | Exceptional (rarely sustained) |
| 1.0–2.0 | Strong risk-adjusted returns |
| 0–1.0 | Modest positive returns relative to risk |
| < 0 | Losing money |
Cross-Reference
For additional risk metrics beyond what the dashboard charts display, see risk-and-volatility-metrics (Sortino ratio, Calmar ratio, VaR).
Related
- index-snapshot-metrics for the snapshot panel that accompanies these charts
- risk-and-volatility-metrics for extended risk measures
- scoring-methodology for the mathematical foundations
- data-sources-and-refresh for price data sourcing