Every number Luck Filter measures, and how

Every figure below is worked out on the server from your broker's own history, one value for every trading day, and a year means 252 trading days. Where a figure needs a cash rate, it is the 3-month US Treasury bill for dollar accounts and the matching rate for other currencies.

Returns

What is the time-weighted return?

How your investments did, with the timing and size of your deposits taken out: every day's return chained together. It is the one to compare with an index. How it differs from Modified Dietz, or try both on a deposit of your own.

What is CAGR?

The time-weighted return as a steady yearly rate: the growth each year that would compound to the same total. It is shown only for a year or more, since a short stretch scaled up to a year exaggerates.

What is the Modified Dietz return?

The money made divided by the average amount invested, with each deposit counted for the share of the period it was in the account. It shows what your own money earned, timing included.

What is "money made"?

The value now, minus the value at the start, minus the money you put in after what you took out.

Risk

What is volatility?

How much the daily returns swing: their standard deviation, scaled to a year.

What is the Sharpe ratio?

The average daily return above the cash rate, divided by how much the daily returns swing, scaled to a year. Return per unit of risk taken: around 1 over many years is a common yardstick, and 0 means no reward above cash.

What is the Sortino ratio?

Like Sharpe, but it divides by the swings on losing days only (the downside deviation, below a zero excess return), so a record is not marked down for big up days.

What is maximum drawdown?

The worst fall from a high point to a later low, as a share of the high, with the dates it started, bottomed and recovered (or that it has not yet). What a fall takes to recover works out the gain needed to get back.

What is the Calmar ratio?

The yearly return divided by the size of the worst fall: how much growth each point of the deepest loss bought.

What are up-market and down-market capture?

On the days the benchmark rose, your average return as a share of its average; and the same on the days it fell. Above 100% up and below 100% down is the shape most investors want.

Against a benchmark

What are tracking error and the information ratio?

Tracking error is how much the daily gap between you and the benchmark swings, scaled to a year. The information ratio is the average gap divided by that swing: how steadily you beat (or trailed) the benchmark. Around 0.5 over many years is considered good for a professional manager.

What are alpha and beta?

From one regression of your daily returns on the benchmark's, both above the cash rate. Beta is how much you move with the market; alpha is the yearly return left over that the market does not explain.

What are the t-stat and p-value?

The t-stat is alpha divided by its own margin of error (worked out with the Newey-West method); around 2 is the usual line for "not random". The p-value is how often a record with no skill would show an alpha that far from zero by chance. How the skill test works, in full, or try it on yearly returns you type in.

Where do the numbers come from?

From your broker's own records, read through a read-only connection: trades, deposits, dividends, fees and holdings. The raw records are stored unchanged, and every figure is rebuilt from them, so a correction from the broker or an improvement to the maths reaches your whole history. Each rebuild is also checked against the broker's reported balances, and the checks are shown with your numbers.