Performance & risk
Time-weighted and money-weighted returns, risk ratios and drawdown, computed per position and per strategy, rolled up to the fund.
LPs judge a fund on risk-adjusted return and on what passive exposure would have earned. Syncrone computes the measures they already use, following the CFA Institute's GIPS definitions where one exists, over on-chain position data.
What you get#
- TWR (time-weighted return)Chain-linked daily returns with each flow taken out on the day it happens, so deposits and withdrawals do not move it. The measure of manager performance, available down to position level.
- ROI and APR (Modified Dietz)Money-weighted return from inception: P&L ÷ capital weighted by how long each flow was invested. APR is that ROI × 365 / days, a simple rate. Once a full year has passed, the compound annualised ROI is also available.
- CAGR and XIRRCAGR compounds TWR to an annual rate. XIRR is the internal rate of return on dated cash flows, as in Excel's XIRR.
- Sharpe, Sortino and CalmarSharpe and Sortino use your organisation's risk-free rate and minimum acceptable return (3% and 0% by default). Calmar is CAGR divided by maximum drawdown. A ratio that cannot be measured is shown as empty, never as 0.
- Maximum drawdownLargest peak-to-trough fall of the return index, so deposits and withdrawals are not mistaken for gains or losses. A USD drawdown on NAV is also available.
- Realised and unrealised P&LAverage cost: a partial exit realises the same share of unrealised P&L as the share of NAV withdrawn, and writes down invested capital in proportion.
- P&L decompositionTotal P&L split into strategy, market, yield and price effect.
Exact formulas and sources are in Metrics & formulas. Bucket-level returns and risk are in Strategies.
Segment versus MD#
Return screens can show two families of figures. They are both correct; they answer different questions.
| Mode | What ROI and APR mean |
|---|---|
| Segment (default) | Return since the current segment started. A full exit and re-entry starts a new segment, so earlier history no longer counts. |
| MD | Modified Dietz return since inception. Never resets, and freezes after a full exit. |
Risk methodology settings#
Each organisation sets an annual risk-free rate (default 3%) for Sharpe and a minimum acceptable return (default 0%) for Sortino. Both are converted to a daily rate by dividing by 365. Changing either rebuilds every position and strategy, and each report records the rate it was generated with, so a finalized report keeps its original Sharpe.
Decision support#
Each Performance screen answers a different question:
| Screen | The question it answers |
|---|---|
| PnL | What did we make or lose over this period, realised versus unrealised? |
| PnL Breakdown | Where did that P&L come from: yield, price movement, or quantity? |
| Attribution | Which positions drove the result, and how much did each contribute? |
| Reports | What do we send LPs for the month or quarter? |
| Strategies | Was the return worth the drawdown and volatility? Risk ratios are read per strategy. |
The Performance screens share one filter bar. Period pills are 7D, 30D, 90D, MTD, QTD, YTD, 1Y and ITD, plus a calendar month or a custom range. Chain, wallet, protocol and asset-type filters carry across screens.
Why it holds up#
Where this lives in the app#
- PnLRealized and unrealized profit and loss over any period.
- PnL BreakdownDecompose PnL into yield, price, and fee effects.
- AttributionWhich positions drove returns, and by how much.
- ReportsBuild and export reports for investors and auditors.
- StrategiesGroup positions into buckets and track their performance.