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.
TWR
Strategy performance without the effect of deposits/withdrawals. The standard for benchmark comparison.
Real 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.
Duration
Macaulay duration and modified duration: the sensitivity of price to changes in the interest rate.
Risk Metrics
Sharpe Ratio, Sortino Ratio, Treynor Ratio, Alpha, Beta, VaR (95%) and Max Drawdown.
HHI Concentration Index
Herfindahl-Hirschman index portfolio diversification, top holding limits, and effective number of holdings.
G-Curve & Z-Spread
OFZ zero-coupon curve, Z-spread search and floater simulations under key rate shifts.
Monte Carlo Simulation
Probabilistic evaluation of 10,000 capital paths, success rate and quantile estimation.
Glossary
Short definitions of all terms: accrued coupon income, MCFTR, CPI, duration and others.