Strategy analytics is the per-strategy metric block of a Combined: every strategy the Combined holds gets its own row of eight metrics, each measured on that strategy's own returns inside the run. It is how you compare the pieces of a Combined against each other and against the whole they belong to, instead of reading only the Combined's single blended result.
Also seen as: per-strategy metrics, per-strategy analytics
What does strategy analytics report for each strategy?
Eight metrics per strategy, in one row. Six of them describe the strategy on its own terms, and two describe it relative to the Combined:
| Metric | What it says about the strategy |
|---|---|
| CAGR | its annualised growth rate |
| Volatility | how much its returns varied |
| Sharpe ratio | return per unit of total risk |
| Sortino ratio | return per unit of downside risk |
| Return-to-drawdown ratio | return against its deepest fall |
| Max drawdown | its deepest peak-to-trough fall |
| Tracking error | how differently it moved from the Combined |
| Information ratio | whether that difference paid off |
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 row and you are reading a strategy 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
- 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 rows follow the simulation assumptions toggles: switching costs, taxes or reinvestment changes every strategy's row, as it changes the Combined's own metrics.
- A strategy that is not part of a Combined has nothing to be compared with, so the surface shows a single row for it.
- The rows are strategies: the pieces of a Combined are strategies, and that is the word the app uses for them. Earlier releases named this surface Component Analytics and called its rows models or components; those names are retired, and this page's address is the only place the older word survives.
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?.
Where this term is used
Generated · 0 pagesThe pages that reference this term — so a term page is somewhere you pass through, not somewhere you land and stop.
Fincanva provides no financial advice. Backtests show what would have happened — not what will.
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