Strategy analytics

Also seen as: per-strategy metrics, per-strategy analytics

What does strategy analytics report for each strategy?

Eight figures per strategy, spread across three cards rather than gathered into one row of columns, with a fourth card for the profit each strategy brought. Six of the figures describe the strategy on its own terms, and two describe it relative to the Combined. Every card lists the strategies in the same order, so one strategy can be followed down the page with your eye.

In prose: the first card plots each strategy as a dot, return upwards against oscillation sideways, with the Combined drawn as a diamond and a line through each dot whose steepness is that strategy's Sharpe ratio. The second card draws the worst fall each strategy took, in that same shared order. The third puts the four comparison figures side by side as bars, one row per strategy. The fourth, How much profit each one brought, over time, is not a metric at all: it draws the cumulative profit each strategy contributed to the Combined, all of them on one scale.

The first six carry exactly the definitions they carry on the Combined's own metrics table, so the same name means the same thing in both places — read one strategy across the cards and you are reading it the way you would read a whole portfolio.

Why are tracking error and information ratio measured against the Combined?

Because on this surface both metrics answer a question about membership, not about the market: they compare a strategy to the parent Combined it sits inside, not to the benchmark. This is the single most misread fact on the surface — elsewhere in finance tracking error and the information ratio are usually quoted versus a benchmark index, so a reader who assumes that here will draw the wrong conclusion from the number. A strategy with a high tracking error is one that diverges from its own Combined, and an information ratio near zero means it contributed little relative to the Combined, whatever either of them did against the benchmark.

Defaults in Fincanva

• Strategy analytics is included from the Advanced plan. Like every Combined-only page it follows Combined itself, which Free and Starter do not include; Advanced, Ultimate and Professional open it. See what each plan includes.
• Each strategy's metrics come from its own share of the one Combined backtest — not from running that strategy standalone — so a strategy's figures here can differ from the numbers on its own standalone run.
• Tracking error and information ratio are measured against the parent Combined; the other six metrics are measured on the strategy's own return series.
• Daily returns are annualised by ×√252, the same annualization convention used for volatility and the Sharpe ratio across the product — including for tracking error and the information ratio.
• The cards follow the simulation assumptions toggles: switching costs, taxes or reinvestment changes every strategy's figures, as it changes the Combined's own metrics.
• A Period selector above the cards narrows the whole page to one calendar year, or back to All period. In a year view the Sharpe lines are not drawn: the risk-free rate the engine reports is a whole-period figure, and Fincanva does not invent a per-year one to replace it.
• The profit card always covers the whole period, whatever the Period selector says; selecting a year shades that year on it rather than cropping the curves.
• A strategy that is not part of a Combined has nothing to be compared with, so the page shows it alone on each card.
• The pieces of a Combined are strategies, and that is the word this page's own copy uses for them throughout, on every axis and every row label. The tab that opens the page is labelled Components, which names the page rather than renaming its rows.

Worked example

A Combined returns 6.2% a year. Strategy A inside it returns 9.0% with a tracking error of 7%, so its information ratio is (9.0% − 6.2%) ÷ 7% ≈ 0.40 — it moved differently from the Combined, and the difference went its way. Strategy B returns 5.8% with a small tracking error, giving a slightly negative information ratio: it tracked the Combined closely and still ended just behind it. Now read the trap: a reader who took A's 7% tracking error as "7% away from the benchmark" would be measuring against the wrong thing entirely — the 7% is A's divergence from the Combined it belongs to.

These figures describe what a strategy would have done on historical data, not what it will do. Fincanva provides no financial advice — see Is this financial advice?.