QUANTITATIVE ANALYSIS
Industry standards for performance evaluation. Verifiable calculations in our AMD SEV-SNP enclave.
Risk-Adjusted Returns
Ratios that weight return by risk taken. Essential for comparing two strategies.
(R - Rf) / σRisk-adjusted return relative to volatility. The industry standard for comparing strategies.
(R - T) / σdLike Sharpe, but only penalizes downside volatility. Better for asymmetric return profiles.
CAGR / MaxDDAnnual return divided by maximum drawdown. Measures return per unit of tail risk.
(R - Rb) / TEActive return relative to tracking error against benchmark.
Risk Metrics
Metrics quantifying risk exposure and the probability of significant losses.
(Peak - Trough) / PeakLargest peak-to-trough decline. Critical for understanding worst-case scenarios.
σ × √252Annualized standard deviation of returns. Measures dispersion of outcomes.
μ - 1.65σMaximum expected loss at 95% confidence. Regulatory standard for risk management.
Cov(R,Rm) / Var(Rm)Sensitivity to market movements. Beta of 1 = market exposure.
Performance Metrics
Absolute performance measures, independent of risk. Starting point of any analysis.
(Vf - Vi) / ViCumulative return over the entire track record period.
(Vf/Vi)^(1/n) - 1Compound Annual Growth Rate. Annualized return accounting for compounding.
Wins / TotalPercentage of profitable trading days or periods.
ΣProfits / ΣLossesRatio of gross profits to gross losses. Above 1.5 is generally considered good.
Calculation
All metrics are computed daily on total equity, inside the AMD SEV-SNP enclave.
Reference
GIPS-aligned methodology. Risk-free rate: average 3-month US T-bill return.
Verification
The calculation code is open source and verifiable via VCEK attestation.
Full methodologyAll these metrics are automatically included in your report, signed by the enclave.