Every portfolio analytics metric Foliolytic computes — 55 of them — each on its own page with formula, intuition, worked example, and what counts as a good value. Click any term to go deeper.
Quick Answer
What's the difference between time-weighted, money-weighted, and dollar-weighted returns?
Time-weighted return (TWR) measures the return of the asset itself, ignoring the size or timing of your contributions and withdrawals — it's how funds report performance. Money-weighted return (also called dollar-weighted, equivalent to XIRR) weights each return period by the amount of money you had invested at that time, reflecting your actual dollar experience. The two diverge whenever cash flows happen on uneven dates: a fund with TWR of 10% can give a poorly-timed investor an XIRR of only 4%.
TWR = the asset's return · XIRR = your actual return
Returns & growth
How fast your money actually compounded — adjusted for cash flows, inflation, and reality.
Annualized Return — A return rescaled to a per-year rate using geometric compounding. The honest comparison number.
CAGR — Compound Annual Growth Rate. The geometric mean of returns. The honest annualization.
Dollar-Weighted Return — Same as money-weighted return / XIRR. The IRR of your actual cash flow series.
Excess Return — Portfolio return minus the risk-free rate. The numerator of Sharpe and Treynor.
Money-Weighted Return — Equivalent to XIRR. Weights each sub-period by capital invested. Your actual dollar experience.
Real Return — Nominal return minus inflation. The actual growth in your buying power.
TWR (Time-Weighted Return) — Chain-linked geometric return that removes cash-flow effects. What a fund earned. Not what you earned.
XIRR — Money-weighted IRR for irregular cash flows. The most honest answer to "what did I actually earn?"
Risk-adjusted ratios
Reward-per-unit-of-risk metrics. The "is this actually good or are you just leveraged?" lens.
Burke Ratio — Excess return divided by root-sum-square of drawdowns. Penalizes deep drawdowns quadratically.
Calmar Ratio — Annual return divided by max drawdown. Captures path risk that volatility-based ratios miss.
K-Ratio — Regression slope of log-equity over time, scaled. Rewards smooth equity curves.
Lo-Adjusted Sharpe — Sharpe corrected for serial autocorrelation. The honest Sharpe for hedge funds with smooth returns.
Martin Ratio — Excess return divided by Ulcer Index. Penalizes both how deep AND how long drawdowns lasted.
Modigliani-squared (M²) — Sharpe rescaled to the benchmark's volatility. Expresses risk-adjusted return in percentage points.
Probabilistic Sharpe Ratio — Probability that your true Sharpe exceeds a benchmark. Adjusts for sample size, skew, kurtosis.
Sharpe Ratio — Excess return per unit of total volatility. The default 'is this portfolio actually good?' metric.
Sortino Ratio — Excess return per unit of downside-only volatility. The "I don't mind upside swings" version of Sharpe.
Sterling Ratio — Annual return divided by the average of the N worst drawdowns. Captures repeated pain that Calmar misses.
Treynor Ratio — Excess return per unit of beta. Right for diversified portfolios, wrong for concentrated bets.
Drawdowns & path risk
How brutal the worst periods felt — and how long they lasted. The metrics behavioral economists actually care about.