Notes on portfolio analytics, risk, and broker integrations
Field notes from the team building AlphaLens — what we learn while wiring up brokers, computing the right metrics, and explaining risk to active traders.
What Is a Good Sharpe Ratio for a Retail Investor?
The Sharpe ratio measures return per unit of risk. Here's what the numbers actually mean for a retail portfolio — and why most traders have no idea what theirs is.
Max Drawdown Explained: What It Is and Why It Matters More Than Returns
Max drawdown tells you the worst loss you would have experienced holding a portfolio. It's often a better measure of risk than volatility — and most retail investors never track it.
Sortino Ratio vs Sharpe Ratio: Which Should You Use?
Both ratios measure risk-adjusted return, but they define 'risk' differently. For most active traders, the Sortino ratio tells a more honest story.
Understanding Time-Weighted Returns
Why time-weighted return (TWR) is the right way to measure portfolio performance, and how AlphaLens calculates it across your Alpaca and IBKR accounts.
Why Your Broker's Return Number Is Misleading
The percentage your broker shows you is almost never your actual return. Here's what it's actually measuring — and what you should look at instead.
Win Rate Is a Lie (And What to Measure Instead)
A 70% win rate sounds great. It might mean you're running a strategy headed for catastrophic failure. Here's why win rate alone is meaningless — and what to pair it with.
What Is the Calmar Ratio?
The Calmar ratio measures return relative to your worst drawdown. It's the most intuitive risk-adjusted metric for traders who think about risk in terms of 'how bad could this get?'
The Monthly Returns Heatmap: How to Read It and What It Reveals
A monthly returns heatmap compresses years of performance into a single glance. Here's how to read one — and what patterns to look for in your own data.
Interactive Brokers Performance Analytics: What TWR Actually Means
IBKR's Performance Analytics tab gives you a time-weighted return series — but the interface buries it. Here's what you're actually looking at and how to use it.
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