Analyze portfolio results

Start on Overview after analyzing a portfolio, or open a saved result from Portfolios → Simulations. Check the effective analysis dates and result label before comparing outcomes: you may be viewing a saved result, an earlier revision, or an unsaved preview.

Overview: performance and exposure

The Normalized portfolio equity chart starts the performance series at a common base of 100 so you can compare the portfolio, component strategies, and benchmark. The statistics panel summarizes portfolio performance.

See Quantitative Metrics for the definitions and formulas behind CAGR, Sharpe, drawdowns, and the other performance statistics.

When delta hedging is enabled, the chart includes both Portfolio (delta hedged) and Portfolio (unhedged). Compare the paths to see where the hedges changed the outcome.

The four-strategy portfolio compares hedged and unhedged equity with SPX.

Portfolio Greeks by Symbol separates Delta, Gamma, Theta, and Vega by underlying. It also shows the signed average of the daily values for each symbol. The Delta view compares hedged and unhedged exposure when available. Hedge trades do not change Gamma, Theta, or Vega in this model.

Portfolio Delta before and after hedging, with signed averages for SPX.

Strategy performance

A saved portfolio's Strategy performance tab lets you compare the component backtests, with columns including CAGR, drawdown, and Sharpe. Open the source backtest results when you need to inspect a strategy's trades or definition.

Check each row's start and end dates: source-run statistics can cover a different period from the portfolio's effective analysis period. The portfolio's allocation and hedge effects belong in the combined results and Events.

Compare performance metrics from the four component backtests.

Correlation matrix

The matrix measures Pearson correlation of simple strategy NAV returns over the aligned analysis dates. It compares return movements, rather than the levels of the equity curves.

• Values close to 1 indicate that the strategies' returns tended to move together.
• Values close to −1 indicate that their returns tended to move in opposite directions.
• Values near 0 indicate little linear relationship over the measured period.

The caption shows the effective dates and observation count. Missing dates are forward-filled when aligning the series. N/A means the correlation is undefined, for example because a series is constant or there are too few observations. At least three aligned NAV observations are needed to calculate two returns.

Use the matrix alongside the performance chart to see whether strategies experienced gains and losses at the same time.

The correlation matrix compares return movements across all four strategies.

Tearsheet and StatSim

Tearsheet provides the detailed performance report; see Tearsheets for its charts and tables. StatSim explores resampled performance paths; the StatSim guide explains its controls and data requirements.

When a hedged result is available, each tab offers a Hedged / Unhedged selector. Check the selected series before comparing reports. With inverse-volatility allocation, these analyses use the period remaining after the opening warm-up.

Choose Hedged or Unhedged before interpreting the portfolio report. This StatSim example uses the Tuesday revision.

Events: understand what changed

Reweighting activity

Use this view to trace the initial allocation and subsequent rebalances. For each strategy, it records the portfolio value, allocated value before and after, and the previous and target weights. Inverse-volatility events also include the measured volatility used to set the targets.

For example, after switching from weekly to daily rebalancing, inspect the event dates and capital changes to confirm that the new schedule does what you intended.

Reweighting events show each strategy’s initial allocation and subsequent changes toward its target weight.

Delta hedging activity

Inspect each underlying's trigger, target, units traded and held, net delta before and after, benchmark and execution prices, commission, slippage, and hedge PnL. Intraday records include timestamps, making this the place to inspect hedge actions within a trading session.

The delta-hedging guide explains how to connect these records to the configured rules.

Compare revisions deliberately

Use Configuration to inspect the setup behind the displayed result and Revision to select an earlier saved result. Run History tracks reruns and their component progress.

Change one setting at a time, analyze the new setup, and compare it with the prior result before saving. See Reruns and revisions for the complete workflow.