Sharpe ratio = (return on investment — risk-free interest rate)/standard deviation of the return on the investment - can be simple and classic. If necessary, you can set the risk-free interest rate yourself.

It would be great if the views in the portfolio analysis could be supplemented with the following key figures and presented graphically as in the attached photos.

Key figures:

open positions, profit factor, longest winning streak, longest losing streak, best trade (3M), worst trade (3M), worst trade (1Y), volatility, max. drawdown, number of trades, Ø holding period (days). Hit rate, profit months, winning days, share of trade positions.

P&L:

see appendix.

LG Friedrich

Could you somehow incorporate beta values of the stocks so that you can see your total beta value depending on the portfolio composition/weighting? It would be very handy for a safe haven depot. Or one that wants to be it.:)

One really important feature of Parqet (the most important for me) is benchmarking, for example with the FTSE all world.

However, other metrics would be possible than just Returns & TTWOR.

Some of them would certainly be difficult to implement, such as Sharpe ratio, beta, etc

But others could be very simple, such as volatility and maximum drawdown (both capitalized as TTWOR).

As part of the analysis, it would be very good if you your personal portfolio P/E ratio with the market (z.B. S&P 500 or MSIC World). In addition to industry analysis, country analysis, you could such a pot. Detect over/undervaluation in the portfolio immediately

I would like to be able to optimize my portfolio with the help of an evaluation/calculation, for example according to Markowitz's portfolio theory, if possible incl. Calculation of the current Sharp ratio and, accordingly, a calculation to optimize the portfolio towards the “Maximum Sharp Ratio”.

In my opinion, this would be a feature that would give your tool quite a unique selling point.

It would be nice if Parqet would also issue risk indicators, such as z.B.

1) Volatility & drawdowns (core)

annualized volatility (β) — StdaW. of daily returns × √252

Time-to-recover — how long until the old high

Ulcer index — “pain” due to deep/long drawdowns (only negative deviations)

2) Tail risk & distribution

VaR (95/99%) — historical/parametric — expected daily max loss with given intensity

CVaR/Expected Shortfall — average loss beyond VaR

Downside deviation — StdaB. negative returns only (for Sortino)

Skew & curvature — make “fat tails” visible

Tail ratio — sum gains upper percentile/sum losses lower percentile

3) Risk-adjusted returns (quality)

Sharpe ratio = (r_port — r_free)/β

Sortino ratio = (r_Port — r_free)/Downside Dev.

Calmar ratio = annual return/max. drawdown

Omega ratio — ratio of profit to loss area above a threshold

4) Against Benchmark

Beta, Alpha (Jensen), R² — Sensitivity & increased yield compared to index

Tracking error — StdaW. of active return

Information ratio = active yield/tracking error

Upside/downside capture — how much you experience climbs/crashes

5) Concentration & Diversification

Position concentration (top 5/10 weight)

HHI/“Effective Number of Positions” (1/HHI)

correlation matrix/ average correlation

Risk contribution per position/sector (MCVR/% share of total β or CVaR)

6) Exposures & Limits

gross/net exposure, leverage, margin utilization

Sector/land/currency exposures (including FX-at-risk)

Interest rate exposures (duration, DV01, convexity) for bond shares

Factor exposures (value, size, momentum, quality...)

7) Liquidity & implementation

Days-to-liquidate (position size/ADV)

Bid ask costs & impl. Slippage

Turnover

8) Scenarios & stress tests

Historical replays (e.g. 2008, March 2020, 2022 Jackson Hole-Shock)

Factor shocks (stocks −5%, 10 y yield +100 bp, USD +2%, gold −3%)

Correlation breakdown (diversification falls apart)

9) Attribution & costs

Return contribution per position/asset/curve (Delta/Theta/Vega attribution)

Show currency effects separately

Fees/commissions/taxes as a separate “drag” code

Foreign exchange gains/losses (for example €/USD)