Glossary

This glossary defines the core financial, performance, and risk terms used throughout PortBlend.

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Net Asset Value (NAV)

A single number that tracks the value of a portfolio, fund, or strategy over time. The starting value does not affect drawdown calculations.

NAV_t = NAV_t-1 * (1 + Return_t)

CAGR (Compound Annual Growth Rate)

The annualised return — the equivalent steady yearly growth rate required for a portfolio to grow from its starting to ending value.

CAGR = ((Ending NAV / Starting NAV) ^ (365.25 / Calendar Days) - 1) * 100

Drawdown

How far a portfolio or series has fallen from its historical peak at any point in time, measured as a percentage.

Drawdown_t = ((NAV_t / Peak_NAV_t) - 1) * 100
where Peak_NAV_t is the highest NAV value achieved up to time t.

Maximum Drawdown

The deepest peak-to-trough decline recorded in a portfolio or series over a specific period, representing the worst-case historical loss.

Max Drawdown = Min(Drawdown_t)

Average Drawdown

The average depth across all historical drawdown episodes. Unlike maximum drawdown, it reflects the typical magnitude of declines the strategy experiences.

Avg Drawdown = (Sum of Episode Depths) / (Total Episodes)

Drawdown Episode

A complete drawdown cycle from the start of a decline from peak, through its lowest point, to a full recovery back to a new high.

Rebalancing

Periodically resetting portfolio weights back to their target allocation. As assets move, their relative weights drift from your target; rebalancing sells some of the outperforming assets (winners) and buys the underperforming ones to restore your original risk profile and intended asset mix.

Allocation

The target percentage assigned to each series in a portfolio blend. Allocations can sum to 100%, or leave a remainder as CASH.

CASH

Unallocated portfolio weight in a blend. CASH has zero return and zero drawdown, so it acts as a historical cash buffer rather than being scaled into other series.

Contribution

The percentage of a blended portfolio’s drawdown episode that was driven by an individual asset or series.

Dominance Ratio

An asset’s average drawdown contribution divided by its portfolio weight. Ratios above 1.5 indicate disproportionate risk. Ratios below 1.0 suggest the asset is providing protection.

Base 100 Normalization

Normalising the starting value of multiple series to 100 to compare their relative performance on equal footing.

My Browser Portfolio

The browser-saved list of validated NAV series available for analysis in this browser.

Because NAV streams often represent proprietary investment strategies, proprietary trading algorithms, or confidential client fund records, protecting user confidentiality is a core architecture priority. PortBlend operates as a stateless processing application—your NAV files are stored locally in your browser storage and are never saved, logged, or stored on PortBlend’s servers. When calculations are run, your data is processed statelessly in-memory to compute the analytics and the results are immediately returned to your browser.

Correlation

How similarly two assets or strategies move over time. High positive correlation means they rise and fall together; low or negative correlation means they behave differently, providing diversification.

Diversification

Spreading investments across different assets or strategies to reduce risk. Real diversification comes from combining holdings that behave differently under stress, not just increasing the number of holdings.

Spurious Correlation

A mathematical relationship where two series appear highly correlated but are actually unrelated, often caused by a shared upward trend over time (like long-term inflation or economic growth).

Return

The gain or loss of an asset, strategy, or portfolio over a period, usually expressed as a percentage of the starting value.

Portfolio Blending

Combining multiple assets, strategies, or return streams into one portfolio to study how the combined result changes risk, drawdown, and consistency.

Portfolio Start Date

The first date where every enabled series in a Portfolio Blending run has usable data. PortBlend normalises each series to base 100 on this date.

Common Overlap

The shared date range where all enabled series have data available. Portfolio Blending runs on this overlapping period so every series is compared fairly.

Peak

The highest value reached by a NAV series before a decline begins. Drawdown is measured from the most recent peak.

Trough

The lowest value reached during a drawdown episode before the portfolio begins recovering.

Recovery

The process of rising from a drawdown trough back to the previous peak or a new high. Recovery time measures how long that process took.

Volatility

How much an asset, strategy, or portfolio value fluctuates over time. Higher volatility usually means larger and more frequent swings.

Trimmed Mean

A statistical measure of average that removes a specified percentage of the highest and lowest values before calculation, reducing the impact of extreme outliers. PortBlend uses a 10% trimmed mean for portfolios with 5 or more qualifying drawdown episodes to protect dominance ratios from being skewed by single anomalous events.

Compounding

The process where gains and losses build on the portfolio’s current value over time, so deep losses can make future growth harder.