Portfolio: trades-portfolio5.json

Net Asset Value

Net Asset Value (NAV) represents the total market worth of a portfolio. It is the sum of the market value of all held assets plus any uninvested cash on a specific date.

How is it calculated?
$$NAV_t = \text{Cash}_t + \sum_{i=1}^{n} (\text{Position}_{i,t} \times \text{Price}_{i,t})$$
Where, \(n\) is the total number of assets, \(i\) is a specific asset, and \(t\) is the specific point in time.
Why is it useful?

It provides a single, clear figure to track the performance of a portfolio over time. By calculating NAV daily, we can generate an Equity Curve, which is essential for calculating further risk metrics like Volatility, Sharpe Ratio, and Maximum Drawdown.

Log Returns

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Portfolio Metrics

Total Return

3164.0430256%

Total Value

$32640430.3

Jensen's Alpha

0.0295220

CAGR

11.5972587%

Beta

-0.0223332

Volatility

0.2302156

Max Drawdown

-52.8240484

VaR (10d, 95%)

$2179651.26

Sharpe Ratio

0.6919433

Cash

$958493.7

Positions

Fox Corporation 0.1%
Alphabet Inc. 0.9%
NVIDIA Corporation 97.4%
United Parcel Service, Inc. 1.5%
Weights Allocation
Simulation Allocation
Simulation Parameters