Calculation methodology
We don't hide our calculations behind a "black box." Below are the exact formulas for the return and risk metrics that Firewire computes from your trades, with examples.
Portfolio return
Two different — and both correct — return metrics.
XIRR
Internal rate of return that accounts for the amounts and dates of contributions and withdrawals. Your personal financial result.
Time-weightedTWR
Strategy performance without the effect of deposits/withdrawals. The standard for benchmark comparison.
InflationReal return
The Fisher formula: how much purchasing power remains after subtracting inflation (Russian CPI).
Bonds
Yield and interest-rate risk of debt securities.
YTM from trade price
Effective yield to maturity from your actual purchase price — with accrued coupon income, taxes and commissions.
RiskDuration
Macaulay duration and modified duration: the sensitivity of price to changes in the interest rate.
ReferenceGlossary
Short definitions of all terms: accrued coupon income, MCFTR, CPI, duration and others.