Methodology Reference
Methodology & Definitions
Reference definitions for performance, risk, drawdown, trading, and account statistics used throughout Autumn Gold reports. Unless otherwise indicated, calculations are based on the monthly performance observations available in the Autumn Gold database through the report's stated as-of date.
P - Proprietary Trading Results
C - Client Trading Results
1. Rates of Return
Monthly rates of return represent the performance observations reported for the applicable trading program. Unless otherwise indicated, compounded returns are calculated by geometrically linking the monthly returns over the selected period.
Annualized Compounded Rate of Return ("Annualized CROR") represents the compounded return over the selected period expressed as an annual rate. Annualized calculations are not displayed when there are fewer than 12 monthly observations.
Annualized Mean Return is calculated by annualizing the arithmetic average monthly return.
2. Worst Peak-to-Valley Drawdown
Worst Peak-to-Valley Drawdown is the greatest cumulative percentage decline from a prior equity high to a subsequent trough during the selected measurement period. Unless otherwise indicated, the statistic is calculated from inception through the report's as-of date.
3. Drawdown Start & End Dates
These dates identify the prior equity high from which the Worst Peak-to-Valley Drawdown began and the subsequent trough at which the maximum decline was reached.
4. Current Drawdown / Current Losing Streak
Current Drawdown, historically labeled "Current Losing Streak" in certain Autumn Gold reports, represents the percentage decline of the program's current equity level from its prior equity high. A value of zero indicates that the program is at or above its prior equity high.
5. Annualized Standard Deviation
Annualized Standard Deviation measures the dispersion of monthly returns around their average. It is a general measure of return variability and treats upside and downside variation alike.
6. Downside Deviation
Downside Deviation measures variability only for returns that fall below the applicable Minimum Acceptable Return ("MAR"). Where the report permits the user to select a MAR, the selected value is used in the calculation.
7. Sharpe Ratio
The Sharpe Ratio compares return in excess of a risk-free rate with overall return variability. Because Standard Deviation includes both positive and negative volatility, the measure does not distinguish between favorable and unfavorable variation. Where the report permits the user to select a risk-free rate, the selected value is used in the calculation.
8. Sortino Ratio
The Sortino Ratio compares return with downside deviation relative to a Minimum Acceptable Return. Unlike the Sharpe Ratio, it focuses on downside observations rather than total volatility. Where the report permits the user to select a Minimum Acceptable Return, the selected value is used in the calculation.
9. Sterling Ratio
The Sterling Ratio is a risk-adjusted return measure that compares return with historical drawdown experience. Unless otherwise indicated, Autumn Gold reports the Sterling Ratio using the methodology implemented in its statistical engine and the applicable report period.
10. Calmar Ratio
The Calmar Ratio compares annualized compounded return with the magnitude of the program's peak-to-valley drawdown over the applicable measurement period. Unless otherwise indicated, Autumn Gold uses a 36-month measurement window. Programs with insufficient history, or where the calculation is not meaningful, may be shown as N/A.
11. Omega Ratio
The Omega Ratio evaluates the distribution of returns relative to a selected threshold by comparing returns above that threshold with returns below it. It is designed to incorporate more of the observed return distribution than measures based only on mean and standard deviation. Where the report permits the user to select an Omega threshold, the selected value is used in the calculation.
12. Minimum Investment
Minimum Investment represents the minimum account size or investment amount reported for the trading program. Actual minimums may vary by account structure, investor type, broker, negotiated terms, or other conditions established by the manager.
13. Assets Under Management
Assets Under Management ("AUM") represents the most recently reported assets associated with the applicable trading program unless otherwise indicated. AUM is manager- or administrator-reported information and may differ from firm-wide assets, regulatory assets, or notional trading exposure.
14. Number of Winning Months
Number of Winning Months represents reported monthly observations with a return greater than zero.
15. Number of Losing Months
Number of Losing Months represents reported monthly observations with a return less than zero.
16. Percentage of Winning Months
Percentage of Winning Months represents the percentage of valid reported monthly observations with a return greater than zero.
17. Margin to Equity
Margin to Equity ("Margin") represents the manager-reported average margin requirement as a percentage of a fully funded account. Actual margin usage may vary over time and by account.
18. Round Turns per Million
Round Turns per Million ("Round Turns") represents the manager-reported or estimated average number of round-turn transactions that would be generated in a $1,000,000 account.
19. Average Commission
Average Commission ("Avg Comm") represents the average round-turn commission rate reflected in the composite track record or otherwise reported for the program. Different commission arrangements may increase or decrease an investor's actual net performance.
20. Maximum Commission
Maximum Commission ("Max Comm") represents the maximum round-turn commission rate permitted or reported by the manager for the applicable program.
Additional Notes for Statistical Reports
Gain-to-Loss Ratio. The average gain during profitable monthly periods divided by the average absolute loss during losing monthly periods.
Profit-to-Loss Ratio. Combines the Gain-to-Loss Ratio with the relative frequency of profitable and losing monthly periods.
Methodology & Data Notes
- Statistics are calculated from the data available to Autumn Gold and may change when a manager revises, corrects, or supplements previously reported information.
- Historical performance may represent client accounts, proprietary accounts, composites, or other manager-reported performance presentations as identified in the applicable report.
- Monthly statistical measures can differ from calculations based on daily data, intramonth account values, cash flows, or individual investor fee arrangements.
- Manager-reported AUM, minimum investment, margin, commissions, and other descriptive fields may change between reporting periods.
- Definitions on this page describe Autumn Gold's presentation of the statistics and should be read together with any methodology, disclosure, or source notes shown on the individual report.