Performance & Risk Metrics

Alpha Decay Rate

The rate at which a quantitative signal's predictive power or excess return diminishes over time after its initial discovery or publication.

Alpha Persistence Test

A statistical methodology that measures whether a quant signal's outperformance (alpha) remains stable and predictive across successive time periods, distinguishing genuine skill from luck in a quantitative trading strategy.

Appraisal Ratio

A performance metric that measures the alpha generated per unit of idiosyncratic risk, isolating manager skill independent of systematic market exposure.

Autocorrelation Lag Test

A statistical test that measures whether past returns or signals exhibit correlation with their lagged values, detecting serial dependence that may indicate exploitable patterns or statistical anomalies in trading strategy performance.

Beta-Adjusted Return

The excess return of a security or portfolio after removing the contribution attributable to systematic market risk, expressed relative to the security's or portfolio's beta coefficient.

Blended Yield-to-Worst

A portfolio-level metric that calculates the weighted-average yield-to-worst across multiple fixed-income positions, reflecting the lowest potential return if each holding is called, redeemed, or matures early at the most unfavorable price.

Burke Ratio

A risk-adjusted performance metric that divides excess return by the maximum drawdown duration, penalizing strategies with prolonged recovery periods.

Calmar Ratio

A risk-adjusted performance metric that divides annualized return by maximum drawdown to measure excess return per unit of downside risk.

Capture Ratio Asymmetry

The differential magnitude between upside and downside capture ratios, indicating whether a quant signal or insider-trading indicator systematically outperforms in bull markets relative to its defensive performance in bear markets.

Carhart Momentum Loading

The exposure of a portfolio or signal to the momentum factor as measured in the four-factor asset pricing model developed by Mark Carhart, capturing returns driven by historical price trends independent of market beta, size, and value effects.

Component VaR

The marginal contribution of an individual position or portfolio component to the total Value at Risk, measuring how much that component drives tail risk exposure across the portfolio.

Conditional Value-at-Risk (CVaR)

CVaR measures the expected loss on a portfolio conditional on losses exceeding the Value-at-Risk threshold, capturing tail-risk severity beyond standard VaR.

Deflated Sharpe ratio (DSR)

A corrected Sharpe ratio that discounts the inflation caused by testing many strategy variants, non-normal returns, and a short track record.

Downside Capture Ratio

A performance metric measuring the percentage of a benchmark's negative returns that a portfolio or trading signal captures during downmarket periods.

Downside Deviation

A volatility measure that quantifies only negative returns below a specified minimum acceptable return (MAR) threshold, ignoring upside fluctuations.

Excess Return Volatility

The standard deviation of returns generated above a benchmark or risk-free rate, measuring the dispersion of outperformance across time periods.

Expected Shortfall

The expected value of portfolio losses that exceed a given Value at Risk threshold, representing the average loss in tail-risk scenarios.

Fama-French Factor Exposure

The degree to which a security or portfolio's returns are attributable to systematic risk factors (market, size, value, profitability, investment) identified by the Fama-French multi-factor model, critical for decomposing alpha and detecting insider-driven anomalies.

Garman-Klass Volatility

A volatility estimator using intraday high, low, open, and close prices that reduces noise from microstructure and random walk components compared to close-to-close volatility.

Historical VaR Percentile

The maximum loss expected at a specified confidence level (e.g., 95th or 99th percentile) derived directly from the empirical distribution of historical returns without parametric assumptions.

Hit Rate Consecutive Wins

The percentage of profitable trades or signals generated in an unbroken sequence, measuring the consistency of a trading strategy or insider-activity scoring model without interim losing periods.

Hurst Exponent

A statistical measure between 0 and 1 that quantifies the long-memory and mean-reversion properties of a time series, with values above 0.5 indicating trending behavior and values below 0.5 indicating mean-reversion.

Idiosyncratic Volatility

The portion of a security's total volatility unexplained by systematic market risk, representing company-specific or sector-specific price fluctuations independent of broad market movements.

Incremental VaR (IVaR)

The marginal change in portfolio Value-at-Risk resulting from adding or removing a single position, expressed as the difference between the portfolio VaR with and without that position.

Information Ratio

A risk-adjusted performance metric that measures excess return per unit of tracking error, quantifying how consistently an investment strategy or quant signal outperforms a specified benchmark.

Jensen's Alpha

The excess return of a portfolio or trading strategy relative to its expected return as predicted by the Capital Asset Pricing Model, adjusted for systematic risk exposure.

Kappa Ratio

A risk-adjusted performance metric that measures excess return per unit of downside semi-deviation, penalizing returns below a specified threshold or minimum acceptable return.

MAR Ratio

A risk-adjusted performance metric that divides annualized return by the maximum drawdown experienced over a measurement period, indicating how efficiently a strategy generates profit relative to peak-to-trough loss exposure.

Marginal VaR

The incremental change in portfolio Value-at-Risk resulting from adding one unit of a given position or asset, measuring the marginal contribution of that holding to total portfolio risk.

Market Beta Drift

The systematic change in a security or portfolio's sensitivity to broad market movements over time, indicating shifting exposure to systematic risk.

Maximum Drawdown Duration

The longest consecutive period, measured in calendar days or trading days, during which a portfolio or signal experiences a continuous decline from peak to trough without recovery.

Monte Carlo VaR Simulation

A stochastic computational method that estimates Value at Risk by generating thousands of random market scenarios based on estimated price distributions and correlations, used in quant scoring to assess tail risk exposure across insider-trading-flagged portfolios.

Omega Ratio

A probability-weighted ratio of gains above a minimum acceptable return threshold to losses below that threshold, measuring excess return per unit of downside risk.

Pain Ratio

A downside risk metric that measures average drawdown experienced by an investment relative to its excess return, penalizing strategies for sustained periods of underwater performance.

Parametric Value-at-Risk

A statistical method that estimates maximum potential loss over a given time horizon at a specified confidence level by assuming asset returns follow a normal distribution and using volatility and correlation parameters.

Parkinson Volatility Estimator

A non-parametric volatility measure derived from intraday high-low price ranges that estimates realized volatility without requiring closing prices, useful for detecting abnormal trading activity in insider-scoring models.

Profit Factor Ratio

The ratio of cumulative profits from winning trades to cumulative losses from losing trades, expressed as a dimensionless metric indicating the efficiency of a trading signal or strategy.

Realized Volatility Jump

A sudden, discrete spike in intraday or high-frequency price fluctuations that materially exceeds the baseline realized volatility, often signaling material news, insider activity, or market microstructure stress.

Recovery Factor

The ratio of net profit to maximum drawdown, measuring how efficiently a strategy or insider signal recovers losses relative to peak-to-trough equity decline.

Rogers-Satchell Volatility

A non-parametric volatility estimator that uses high, low, and close prices to measure intraday price dispersion without requiring opening prices, making it robust to overnight gaps and useful for evaluating strategy execution quality in insider-trading detection models.

Rolling Beta Instability

The statistical variance in a security's systematic risk coefficient (beta) measured across successive rolling time windows, signaling regime shifts or structural breaks in market sensitivity that undermine predictive signal reliability.

Rolling Window Volatility

A time-series measure of price dispersion recalculated sequentially over fixed-length overlapping periods to detect regime shifts and risk changes in real time.

Sharpe ratio

The excess return of a strategy per unit of volatility, the standard measure of risk-adjusted performance.

Skewness-Adjusted Return

A risk-adjusted performance metric that penalizes strategies exhibiting negative skewness (left-tail concentration of losses) by discounting raw returns proportionally to distributional asymmetry.

Sortino Ratio

A risk-adjusted performance metric that measures excess return per unit of downside volatility, penalizing only negative deviations from a target return threshold.

Sterling Ratio

A risk-adjusted performance metric that measures excess return per unit of average drawdown, used to evaluate strategy consistency and downside management in quant and insider-trading detection models.

Stress VaR

Value at Risk computed under hypothetical stressed market conditions or historical crisis scenarios rather than normal market parameters, designed to capture tail risk exposure during extreme volatility regimes.

Systematic Volatility Component

The portion of a security's total return volatility that is driven by broad market or factor movements, calculated as the product of the security's beta and the market volatility.

Three-Factor Model Residual

The unexplained return component after controlling for market risk, size, and value exposures in the Fama-French three-factor framework, representing alpha or manager skill net of systematic factor tilts.

Treynor Ratio

A risk-adjusted performance metric that measures excess return per unit of systematic risk (beta), used to evaluate whether a portfolio manager or insider trading signal generates alpha relative to market exposure.

Ulcer Index

A downside risk metric that measures the depth and duration of portfolio drawdowns, penalizing prolonged periods of decline more heavily than volatility alone.

Upside Capture Ratio

The ratio of a portfolio's or signal's return to a benchmark's return during periods when the benchmark is positive, expressed as a percentage, measuring how much upside participation the strategy captures.