QuantAscent — Glossary¶

A plain-language reference for the financial and quantitative terms used throughout QuantAscent. You don't need to memorize these — they're here when you want to know what a number means.

Returns & Performance¶

NAV (Net Asset Value) The total value of your portfolio — all positions at current market prices plus cash. This is the single most important number: it's what your account is worth right now.

Daily P&L (Profit & Loss) How much your portfolio gained or lost today, in dollars.

CAGR (Compound Annual Growth Rate) Your average annual return, accounting for compounding. If your portfolio grew from $100,000 to $150,000 over 3 years, the CAGR is about 14.5% — not 16.7% (which would be the simple average). CAGR is the most honest way to state long-term performance.

Total Return The cumulative percentage gain or loss over the full period. A $100,000 portfolio that grows to $250,000 has a total return of 150%.

TWR (Time-Weighted Return) A return measure that removes the effect of deposits and withdrawals. It answers: "How well did the strategy perform?" — regardless of when money was added or removed. This is how mutual funds report performance.

MWR (Money-Weighted Return) / IRR (Internal Rate of Return) A return measure that accounts for the timing and size of your cash flows. It answers: "What did I actually earn?" If you deposited $50,000 right before a 20% gain, MWR will be higher than TWR because more of your money was working during the good period.

YTD (Year-to-Date) Performance from January 1st of this year through today.

MTD / QTD (Month-to-Date / Quarter-to-Date) Performance from the start of the current month or quarter through today.

Win Rate The percentage of trading days (or trades) that were profitable. A win rate of 55% means you had more good days than bad. Note: win rate alone doesn't tell you much — a strategy with 40% win rate can still be very profitable if the wins are much larger than the losses.

Risk Metrics¶

Drawdown How far your portfolio has fallen from its highest point (peak). A 10% drawdown means you're 10% below your all-time high. Drawdowns measure the pain of holding through a decline.

Max Drawdown The largest peak-to-trough decline your portfolio has ever experienced. This is the worst-case scenario that actually happened. A max drawdown of -25% means at some point you were down 25% from a previous peak.

Volatility (Annualized) How much your returns bounce around, expressed as a yearly percentage. Higher volatility means wider swings — both up and down. A volatility of 15% is typical for a diversified stock portfolio; 30%+ is quite volatile.

Sharpe Ratio Return per unit of risk. Calculated as (your return minus the risk-free rate) divided by your volatility. A Sharpe above 1.0 is good, above 2.0 is excellent. It answers: "Am I being compensated enough for the risk I'm taking?"

Sortino Ratio Like Sharpe, but only penalizes downside volatility (bad swings), not upside volatility (good swings). Often considered a fairer measure since investors don't mind upside surprises.

Calmar Ratio Return divided by max drawdown. It answers: "How much did I earn relative to the worst decline I had to endure?" Higher is better.

Beta How much your portfolio moves relative to the market (S&P 500). A beta of 1.0 means you move in lockstep. A beta of 1.5 means when the market goes up 10%, you tend to go up 15% (and down 15% when the market falls 10%). A beta below 1.0 means you're less volatile than the market.

Alpha The portion of your return that can't be explained by market movements (beta). Positive alpha means you outperformed what your level of market risk would predict. This is the value your strategy adds beyond simply being invested in the market.

Correlation How closely your portfolio's daily returns track the S&P 500, from -1 (perfectly opposite) to +1 (perfectly in sync). A correlation of 0.85 means your portfolio mostly moves with the market. Lower correlation means more diversification benefit.

Quantitative Research¶

IC (Information Coefficient) A measure of how well a financial metric predicts future stock returns. It's the correlation between a metric's value today and the stock's return over the next period. An IC of +0.05 is meaningful in finance (where prediction is hard). An IC of 0 means no predictive power.

Quintile One-fifth of the stock universe, sorted by a metric. Quintile 1 (Q1) contains the lowest 20% of stocks for that metric, and Quintile 5 (Q5) contains the highest 20%. Comparing Q5 return vs. Q1 return shows whether higher values of the metric lead to better performance.

Monotonicity Whether returns increase (or decrease) smoothly across quintiles. Perfect monotonicity means Q1 < Q2 < Q3 < Q4 < Q5 (or the reverse). A metric with good monotonicity is more reliable — it works across the whole distribution, not just at the extremes.

Threshold A cutoff value for a metric used to filter stocks. For example, "P/E < 15" uses 15 as the threshold. Threshold scanning helps you find the optimal cutoff where predictive power is strongest.

Composite Score A combined score built from multiple metrics. Instead of relying on one metric, you assign points for each criterion a stock passes and rank by total score. Composite scores are more robust because they diversify across multiple signals.

Factor A characteristic of a stock that helps explain its returns. Common factors include value (cheap stocks tend to outperform), momentum (recent winners keep winning), quality (profitable companies do better), and size (small stocks have higher expected returns). QuantAscent lets you test and combine these factors.

Valuation Metrics¶

P/E Ratio (Price-to-Earnings) Stock price divided by earnings per share. A P/E of 15 means you're paying $15 for every $1 of earnings. Lower P/E generally means cheaper, but very low P/E can signal problems. Compare within the same industry.

P/B Ratio (Price-to-Book) Stock price divided by book value per share (assets minus liabilities). A P/B below 1.0 means the stock trades below the accounting value of its assets.

EV/EBITDA (Enterprise Value to EBITDA) A valuation ratio that accounts for debt. Enterprise value = market cap + debt - cash. EBITDA = earnings before interest, taxes, depreciation, and amortization. Lower is cheaper. More useful than P/E for comparing companies with different capital structures.

FCF Yield (Free Cash Flow Yield) Free cash flow per share divided by stock price, expressed as a percentage. An FCF yield of 8% means the company generates $0.08 of free cash for every $1.00 of stock price. Higher is generally more attractive.

Earnings Yield The inverse of P/E, expressed as a percentage. An earnings yield of 7% (P/E of ~14) lets you compare stock cheapness directly against bond yields.

Profitability Metrics¶

ROE (Return on Equity) Net income divided by shareholder equity. Measures how efficiently a company uses shareholder capital to generate profit. An ROE of 20% means the company earns $0.20 for every $1.00 of equity.

ROIC (Return on Invested Capital) Similar to ROE but uses total invested capital (equity + debt). Often considered a purer measure of business quality because it's not inflated by leverage.

Gross / Operating / Net Margin The percentage of revenue retained after subtracting different levels of cost. Gross margin is after cost of goods; operating margin is after operating expenses; net margin is after everything (taxes, interest, etc.). Higher margins generally indicate a stronger competitive position.

Portfolio & Trading¶

Rebalance Adjusting your portfolio to match target allocations. If a strategy targets 5% per stock across 20 stocks, and some positions have drifted to 7% or 3%, rebalancing sells the overweight positions and buys the underweight ones to get back to target.

FIFO (First-In, First-Out) The method QuantAscent uses to match sales against purchase lots. The oldest shares you bought are considered sold first. This affects your cost basis and whether a gain is classified as short-term or long-term.

Cost Basis What you originally paid for a position, including commissions. Your unrealized gain/loss is the difference between the current market value and your cost basis.

Realized vs. Unrealized Gain A realized gain happens when you sell — the profit is locked in (and taxable). An unrealized gain is a paper profit on positions you still hold — it could grow or shrink.

Short-Term vs. Long-Term Gain Positions held for one year or less generate short-term gains, taxed at your ordinary income rate. Positions held longer than one year generate long-term gains, taxed at a lower rate. The Trade Log tracks this automatically.

Wash Sale If you sell a stock at a loss and buy the same (or substantially identical) stock within 30 days before or after the sale, the IRS disallows the loss for tax purposes. QuantAscent detects wash sales and tracks the adjusted cost basis.

Leverage Using borrowed money (margin) to hold positions worth more than your account balance. A leverage ratio of 1.5x means you have $150 of positions for every $100 of equity. Higher leverage amplifies both gains and losses.

IBKR & Connectivity¶

IB Gateway A lightweight application from Interactive Brokers that provides API access to your brokerage account. It runs in the background and lets QuantAscent place trades and receive real-time prices.

TWS (Trader Workstation) Interactive Brokers' full trading platform. It provides the same API as IB Gateway but with a complete trading interface. Either one works with QuantAscent.

Flex Web Service / Flex API An HTTP-based service from IBKR that delivers account statements (positions, trades, NAV) as XML files. This is how QuantAscent downloads your daily portfolio data — it works without IB Gateway running.

Flex Token An authentication key for the Flex Web Service. Generated in IBKR Account Management. Tokens expire periodically and need to be regenerated.

Flex Query A saved configuration in IBKR that defines what data the Flex API returns (which sections, date range, format). You create a query once and QuantAscent uses its ID to request data.

Metrics Reference¶

Every metric QuantAscent stores per ticker and exposes in the Research tab. The names below match the exact keys you see in dropdowns and matrix columns, so you can search this section by whatever you see on screen. Units are shown in square brackets — decimal % means a value of 0.05 represents 5%; $M means millions of dollars.

Most metrics come from Financial Modeling Prep (FMP) fundamentals; growth rates and means are computed by QuantAscent over a rolling 20-quarter lookback (5 years).

A note on "Growth Rate" and "R²" metrics¶

For every time-series metric (revenue, EPS, margins, ROE, etc.) QuantAscent fits a linear regression across the 20-quarter lookback and stores two values:

<Metric>_GrowthRate — the annualized compound growth rate implied by the regression slope. A value of 0.10 means the metric grew at roughly 10% per year.
<Metric>_R2 — the R-squared of that fit, from 0 to 1. A high R² (say 0.9) means the trend was smooth and steady; a low R² (say 0.2) means the growth rate is an average over a noisy or erratic series and shouldn't be trusted in isolation.

Always pair a growth rate with its R² — a fast grower with R² = 0.2 is very different from one with R² = 0.9.

Valuation¶

CurrentPE_ratio [ratio] — Price-to-earnings ratio at the as-of date. What you pay for each dollar of trailing earnings.
MeanPE_ratio [ratio] — Average P/E over the 20-quarter lookback. Useful for spotting stocks trading below their own long-run valuation.
PreviousPE_ratio [ratio] — P/E from the prior period. Compare against Current to see multiple expansion or compression.
PriceToBookRatio [ratio] — Stock price divided by book value per share.
PriceToSalesRatio [ratio] — Stock price divided by revenue per share. Useful for unprofitable or cyclical companies where P/E is unreliable.
PEGRatio [ratio] — P/E divided by earnings growth rate. A PEG under 1.0 is often interpreted as "growth you're not fully paying for."
PriceToOperatingCFRatio [ratio] — Price divided by operating cash flow per share. Cash-based analog to P/E.
EVtoEBITDA [ratio] — Enterprise value divided by EBITDA. Lower is cheaper; preferred over P/E when comparing companies with different debt loads.
EVtoFCF [ratio] — Enterprise value divided by free cash flow. A strict valuation measure — FCF is harder to fake than EBITDA.
EVtoSales [ratio] — Enterprise value divided by revenue.
EnterpriseValueMultiple [ratio] — EV/EBITDA as reported directly in FMP's key metrics table (useful as a cross-check against the computed EVtoEBITDA).
EarningsYield [decimal %] — Earnings divided by price (inverse of P/E). Lets you compare stock cheapness directly to bond yields.
FCFYield [decimal %] — Free cash flow divided by market cap. A 0.08 FCF yield means the company produces 8¢ of free cash per $1 of stock price.
GrahamNumber [$] — Benjamin Graham's classic intrinsic value estimate: √(22.5 × EPS × book value per share).
GrahamToPrice [ratio] — Graham Number divided by price. Above 1.0 suggests the stock is below Graham's "fair value."

Profitability¶

MeanGrossMargin [decimal %] — Average gross margin (gross profit ÷ revenue) across the lookback.
OperatingProfitMargin [decimal %] — Operating income divided by revenue.
NetProfitMargin [decimal %] — Net income divided by revenue.
EBITMargin [decimal %] — EBIT divided by revenue.
MeanCashFlowMargin [decimal %] — Average operating cash flow ÷ revenue across the lookback. Measures how much of each sales dollar converts to cash.
IncomeQuality [ratio] — Operating cash flow divided by net income. A value above 1.0 is a quality signal: reported earnings are backed by actual cash. Persistently below 1.0 can indicate aggressive accruals.

Returns on Capital¶

CurrentROE [decimal %] — Return on equity at the as-of date. Net income ÷ shareholder equity.
PreviousROE [decimal %] — ROE from the prior period.
MeanReturnOnEquity [decimal %] — Average ROE across the lookback.
CurrentROIC [decimal %] — Return on invested capital. Often a purer quality signal than ROE because it isn't boosted by leverage.
PreviousROIC [decimal %] — ROIC from the prior period.
MeanROIC [decimal %] — Average ROIC across the lookback.
ROCE [decimal %] — Return on capital employed. EBIT divided by (total assets − current liabilities).
ReturnOnTangibleAssets [decimal %] — Net income divided by tangible assets (excluding goodwill and intangibles).

Growth Rates¶

Each is the annualized compound growth rate fit across the 20-quarter lookback. Always check the matching _R2 to gauge how reliable the trend is.

Revenue_GrowthRate — Revenue growth.
EPS_GrowthRate — Earnings per share growth.
NetIncomeGrowthRate — Net income growth.
FCF_GrowthRate — Free cash flow growth.
OperatingCF_GrowthRate — Operating cash flow growth.
OperatingIncome_GrowthRate — Operating income growth.
GrossProfit_GrowthRate — Gross profit growth.
EBIT_GrowthRate — EBIT growth.
GrossMargin_GrowthRate — Trend in gross margin (margin expansion or compression per year).
OperatingMargin_GrowthRate — Trend in operating margin.
NetMargin_GrowthRate — Trend in net margin.
ROE_GrowthRate — Trend in return on equity.
ROIC_GrowthRate — Trend in return on invested capital.
Zscore_GrowthRate — Trend in Altman Z-score (improving or deteriorating financial health).
PriceToCashflow_GrowthRate — Trend in price-to-cash-flow multiple (multiple expansion or compression).
PE_GrowthRate — Trend in the P/E ratio.

Growth R-squared¶

For every growth rate above there is a matching *_R2 metric (Revenue_R2, EPS_R2, NetIncomeGrowth_R2, FCF_Growth_R2, OperatingCF_R2, OperatingIncome_R2, GrossProfit_R2, EBIT_R2, GrossMargin_R2, OperatingMargin_R2, NetMargin_R2, ROE_R2, ROIC_R2, Zscore_R2, PriceToCashflow_R2). Each is scaled 0–1 and reports how well a straight line fits the underlying quarterly series — see the note at the top of this section.

Cash Flow¶

MeanOperatingCF [$M] — Average operating cash flow across the lookback.
CapitalExpenditure [$M] — Capex for the current period (shown negative in cash flow statements; stored as-reported).
StockBasedCompensation [$M] — Stock-based compensation expense. A high SBC figure can make GAAP earnings look better than reality.
ChangeInWorkingCapital [$M] — Cash absorbed or released by changes in receivables, inventory, and payables.
AcquisitionsNet [$M] — Net cash spent on acquisitions.
CommonStockRepurchased [$M] — Cash spent on share buybacks.
CommonDividendsPaid [$M] — Cash paid to common shareholders as dividends.
FCFPerShare [$/share] — Free cash flow per diluted share.

Yield & Shareholder Returns¶

DividendYield [decimal %] — Annual dividends per share divided by price.
DividendPayoutRatio [decimal %] — Dividends paid divided by net income. High payout ratios leave less room to reinvest or weather downturns.
BuybackYield [decimal %] — Net share repurchases divided by market cap.
TotalShareholderYield [decimal %] — Dividend yield plus buyback yield. The full cash return to shareholders, regardless of form.

Safety & Leverage¶

MeanZscore [score] — Average Altman Z-score over the lookback. Z combines five ratios to flag bankruptcy risk: above 3 is safe, 1.8–3 is a grey zone, below 1.8 is distressed.
DebtToEquityRatio [ratio] — Total debt divided by stockholder equity.
DebtToAssetsRatio [ratio] — Total debt divided by total assets.
DebtToMarketCap [ratio] — Total debt divided by market cap.
DebtToMeanIncome [ratio] — Total debt divided by the company's mean net income over the lookback. A rough "years of earnings to repay all debt" measure.
InterestCoverageRatio [ratio] — EBIT divided by interest expense. Above 3 is healthy; below 1.5 is a red flag.
NetDebtToEBITDA [ratio] — Net debt (debt minus cash) divided by EBITDA. Credit analysts commonly treat above 4 as highly leveraged.
CurrentRatio [ratio] — Current assets divided by current liabilities. Above 1.0 means the company can cover near-term obligations from liquid assets.
QuickRatio [ratio] — (Current assets − inventory) ÷ current liabilities. Stricter than the current ratio because inventory can be hard to liquidate.

Efficiency & Operations¶

DSO [days] — Days Sales Outstanding. How many days, on average, it takes to collect cash from customers after making a sale.
DIO [days] — Days Inventory Outstanding. How long inventory sits before being sold.
CashConversionCycle [days] — DSO + DIO − DPO. How many days cash is tied up in operations between paying suppliers and collecting from customers. Lower is better.
OperatingCycle [days] — DSO + DIO. Total days from inventory purchase to cash collection.
CapexToRevenue [decimal %] — Capex divided by revenue. A rough measure of capital intensity — how much the business must reinvest to keep running.
CapexToDepreciation [ratio] — Capex divided by depreciation. Above 1.0 means the company is investing beyond just replacing worn-out assets (growth capex).
SBCtoRevenue [decimal %] — Stock-based compensation divided by revenue. Quantifies dilution cost relative to sales.
RDtoRevenue [decimal %] — R&D expense divided by revenue. A standard measure of research intensity.
EffectiveTaxRate [decimal %] — Income tax expense divided by pre-tax income.
GoodwillToAssets [decimal %] — Goodwill and intangibles divided by total assets. High values flag companies built through acquisitions rather than organic growth.

Size & Capital Structure¶

MarketCap [$M] — Market capitalization computed from the current price × shares outstanding.
FMP_MarketCap [$M] — Market cap as reported in FMP's key metrics table (cross-check against MarketCap).
EnterpriseValue [$M] — Market cap plus debt minus cash. The takeover price a hypothetical acquirer would pay for the whole business.
TotalDebt [$M] — Short-term plus long-term debt.
LongTermDebt [$M] — Debt maturing beyond one year.
ShortTermDebt [$M] — Debt maturing within one year.
NetDebt [$M] — Total debt minus cash and equivalents.
TotalStockholdersEquity [$M] — Book equity — the accounting claim of shareholders on the business.
GoodwillAndIntangibles [$M] — Goodwill plus other intangible assets.
TangibleAssetValue [$M] — Total assets minus goodwill and intangibles.
NetCurrentAssetValue [$M] — Current assets minus total liabilities. Graham's "net-net" concept.
Inventory [$M] — Inventory on the balance sheet.
NetReceivables [$M] — Accounts receivable, net of allowances.

CurrentEPS [$/share] — Diluted earnings per share for the current period.
BookValuePerShare [$/share] — Stockholder equity divided by shares outstanding.
RevenuePerShare [$/share] — Revenue divided by shares outstanding.
CurrentRevenue [$M] — Revenue for the current period.
MeanRevenue [$M] — Average revenue across the lookback.
MeanNetIncome [$M] — Average net income across the lookback.
CurrentGrossProfit [$M] — Gross profit for the current period.
CurrentOperatingIncome [$M] — Operating income for the current period.
InterestExpense [$M] — Interest expense for the current period.
RDExpenses [$M] — R&D expense for the current period.

Technical & Pricing¶

CurrentPrice [$] — Close price on the as-of date used for the analysis.

Company Info¶

These are categorical attributes rather than numeric metrics, but they appear in the matrix and can be used as filters.

sector — GICS sector classification (e.g., Technology, Health Care, Financials).
industry — Finer industry classification beneath sector.
country — Country of domicile.
exchange — Primary stock exchange the ticker trades on.