Tearsheets
A tearsheet brings performance statistics and charts into one report. MesoSim uses MesoMetrics, Deltaray's performance-analysis library, to generate tearsheets for individual backtests and portfolios.
Use this guide to navigate the report and interpret its views. For metric definitions, units, and formulas, see Quantitative Metrics.
Open a tearsheet
- Backtest: open a completed run from MesoSim Backtests, then select Tearsheet. The report is generated on demand from the run's recorded performance data.
- Portfolio: analyze a portfolio or open a saved result from Portfolios → Simulations, then select Tearsheet. If delta hedging is enabled, use Hedged / Unhedged to choose which performance series to review.
Start with the report header: check the strategy or portfolio name, analysis dates, and benchmark. Saved portfolio reports also identify their revision. The portfolio report describes the combined allocation; its dates can differ from those of an individual component backtest. See Analyze portfolio results.
Before comparing two tearsheets, check their dates, benchmark, and selected portfolio series. A change in these inputs can explain a difference in the reported results.
Performance tables
Key Performance Metrics
The main table puts the strategy or portfolio statistics beside the benchmark's statistics when a benchmark is available. It covers returns, risk, drawdowns, daily PnL, exposure, calendar performance, and benchmark relationships.
Start with a small set: Cumulative Return, CAGR, Max Drawdown from Peak, Sharpe, and Time in Market. Use the charts below to see when those results were earned and where losses occurred. On desktop, hovering over a metric label shows a short description.
Follow Quantitative Metrics for the full reference. In particular, metrics such as Win Days and Profit Factor use daily PnL; they do not count completed option positions.
End-of-year returns
EOY Returns vs Benchmark compares complete calendar years. It includes the strategy and benchmark returns, Active Return, Relative Wealth, and Won. A + in Won means the strategy outperformed the benchmark for that year.
Without a benchmark, EOY Returns lists each complete year's return and its cumulative progression. Use this table to see whether the overall result depends heavily on a particular year. Definitions for the comparison columns are in Calendar series and yearly benchmark comparisons.
Worst 10 Drawdowns
This table lists up to ten drawdown episodes, ordered by depth, with Started, Recovered, Drawdown, and Days. Open means the report ends before recovery; its duration runs to the end of the analyzed period.
Read depth and duration together: a shallow but prolonged drawdown can be significant even when the maximum loss looks modest. See Drawdowns and recovery for definitions.
Performance charts
| Chart | How to use it |
|---|---|
| Cumulative Returns | Follow performance through time and compare the strategy or portfolio with its benchmark. Look for periods of divergence, stagnation, and recovery. |
| NAV (log view) | Compare proportional growth over longer periods. Read the axis as cumulative log return. |
| Cumulative Returns (volatility matched) | Compare the strategy with a benchmark whose returns are scaled to match the strategy's volatility. Treat this as a comparison view; the ordinary cumulative chart shows the original benchmark path. |
| EOY Returns | Compare annual outcomes as bars, with benchmark bars when available. |
| Daily Returns | Locate unusually large daily gains or losses, then investigate those dates in the results. |
Benchmark comparisons appear when the necessary benchmark data is available. Refer to Benchmark comparisons for the underlying definitions.
Rolling performance
Rolling charts show how performance changes across six-month and twelve-month windows. Each plotted point summarizes the window ending at that date. The legend identifies the two window lengths; these lines are not a strategy-versus-benchmark pair.
| Chart | What to examine |
|---|---|
| Rolling Alpha to Benchmark | How the estimated annualized alpha changes over time. Alpha is shown as a fraction: 0.03 means 3%. |
| Rolling Beta to Benchmark | Whether sensitivity to benchmark movements changes across periods. |
| Rolling Volatility | When the variability of returns increases or decreases. |
| Rolling Sharpe | Whether risk-adjusted performance persists across different windows. |
| Rolling Sortino | How performance relative to downside risk changes through time. |
Six-month windows respond more quickly to recent observations; twelve-month windows include more history. A short backtest may not have enough data for both. See Rolling 6M and 12M metrics for window requirements.
Drawdown charts
Worst 5 Drawdown Periods shades the five deepest drawdown episodes on the cumulative performance curve. Use it to place losses and recoveries in the context of the whole run.
The Underwater Plot shows the percentage decline from the running peak. Zero marks a high-water level; values below zero show the depth of the current drawdown. Pair it with Worst 10 Drawdowns to identify the dates and duration of the episodes you want to investigate.
Return distributions and calendar patterns
- Distribution of Monthly Returns: a histogram of complete monthly returns, with an average marker and a smoothed distribution curve. Inspect the spread, asymmetry, and frequency of negative months.
- Monthly Returns: a year-by-month heatmap. Read the cell values as well as the colors to locate clusters of gains or losses. A dash marks a missing month. The opening or closing month can contain only part of a month.
- Return Quantiles: box plots for daily, weekly, monthly, quarterly, and yearly returns. The box shows the middle half of observations, the center line is the median, and points beyond the whiskers highlight outliers.
The monthly histogram uses complete months, while the heatmap and quantile summaries can include partial periods. Keep that distinction in mind when comparing views. See Return quantiles and box-plot summaries for the statistical definitions.
Read missing values and coverage
N/A means a metric's requirements are not met; it is not zero. A chart may be absent or show Not enough data when the required history or benchmark observations are unavailable.
If the header reports incomplete daily coverage, some scheduled observations are missing and gap intervals are excluded from daily metrics. Check the analyzed dates before comparing the report with another run. See Reading the reported values.
Investigate and compare
Use the tearsheet to identify a period or behavior worth examining, then open Events Viewer or Position Monitor for the underlying trades. For portfolios, inspect the allocation and hedge events.
Use Clone to change one strategy setting at a time and compare the resulting reports. For resampled performance paths, continue with StatSim. Deltaray's Portfolio Construction Methods provides a related example of comparing strategy and portfolio performance.