Portfolio metrics
beta
A measure of sensitivity between a strategy or asset return series and a benchmark return series.
- Beta depends on the benchmark, return frequency, and regression window.
Related: benchmark, correlation, exposure
Glossary
IBKR + Python glossary
A shared vocabulary for Interactive Brokers, TWS, Gateway, market data, order handling, backtesting, portfolio metrics, and Python workflows.
Search and filters
IBKR
Interactive Brokers account, contract, routing, and API concepts.
7 terms
TWS
Trader Workstation terms for desktop API development and manual review.
5 terms
Gateway
IB Gateway terms for lighter, longer-running API sessions.
3 terms
Market data
Live, delayed, historical, and permissioned data terms.
8 terms
Orders
Order types, identifiers, controls, and safety vocabulary.
8 terms
Backtesting
Research validation terms and common sources of overstatement.
7 terms
Portfolio metrics
Return, risk, exposure, and performance measurement terms.
8 terms
Python
Python environment, data, async, and reproducibility terms.
8 terms
Results
8 matching terms
Portfolio metrics
drawdown
The decline from a prior equity-curve peak to a later trough, usually expressed as a percentage.
- Drawdowns can be measured on daily, intraday, or monthly series; frequency affects the result.
Related: maximum drawdown, equity curve, risk
Portfolio metrics
equity curve
A time series of portfolio value or cumulative returns used to inspect growth, drawdowns, and regime behavior.
- Equity curves should specify whether values include cash, dividends, fees, and open positions.
Related: drawdown, CAGR, volatility
Portfolio metricsmax drawdown
maximum drawdown
The largest observed peak-to-trough decline in a selected evaluation period.
- Maximum drawdown is path-dependent and should be interpreted with sample length and data frequency.
Related: drawdown, equity curve, recovery
Portfolio metricsNetLiqNAV
net liquidation value
An account-level value that estimates total account equity if positions were liquidated at current marks, subject to broker calculations.
- Treat account values as sensitive and avoid sharing raw account data publicly.
Related: equity curve, cash, portfolio
Portfolio metrics
Sharpe ratio
A risk-adjusted return metric that compares excess return to return volatility over a specified period and annualization convention.
- Sharpe ratios are sensitive to frequency, non-normal returns, costs, and the chosen risk-free rate.
Related: volatility, Sortino ratio, risk-free rate
Portfolio metrics
Sortino ratio
A risk-adjusted return metric that compares excess return to downside deviation rather than total volatility.
- Define the target return and downside calculation window before comparing results.
Related: Sharpe ratio, downside deviation, risk
Portfolio metrics
turnover
A measure of how much of a portfolio is traded over a period, often used to estimate cost sensitivity and operational load.
- High turnover makes cost, spread, and slippage assumptions more important.
Related: transaction costs, slippage, rebalance
Educational boundary
This content is for educational and technical research purposes only. It is not financial advice, investment advice, trading advice, tax advice, or legal advice. Backtests and examples may contain errors or omissions. Past performance does not guarantee future results. Always test code in a safe environment before using it with real accounts or live trading systems.
Interactive Brokers, IBKR, Trader Workstation, and IB Gateway are trademarks or registered trademarks of their respective owners. InQuantWeTrust is independent and is not affiliated with, endorsed by, or sponsored by Interactive Brokers.