Calculations

Glossary

Definition

• Realized Amount = all dividends, distributions and proceeds received, in cash
• Dividends = a payment of a portion of company profits
• Distributions = disbursements from an investment, fund, account, security, asset, etc., most commonly made by the issuer/manager
• May include any combination of income, return of capital from a tax basis
• Proceeds = realized capital from a sale transaction
• Current Value = market value, or most recent known value = (Total Investment + Total Gain/Loss - Realized Amount)
• Contributions = All purchases, contributed capital, capital calls, etc. to an investment
• Total Investment = total amount contributed to an investment
• When data is not available, starting value will be used instead
• LTM = Last 12 months
• Net Investment = Net Investment is Copia’s representation of the approximated net capital invested in an asset, defined as: Total Invested Capital minus all Realized Amounts = (Total Invested Capital – Realized Amount(s))
• Note: not the same as Cost Basis
• Period Return %: ((End of period value + Amount Realized during the period - Contributions made during the period - End of prior period value) / (End of prior period value))
• Captured directly = the data point(s) is captured directly from documents provided by the Patron or asset Manager, when available; no calculation is used

Appreciation

Definition

The amount an investment or asset has increased in value. Substantially similar to unrealized gain/loss.

Note: uniquely for real estate and operating companies specifically, unrealized appreciation may be used to calculate property taxes.

AKA: Unrealized Gain/Loss

Calculation

Appreciation = Current Value – Total Investment + Proceeds

Metric

• Currency, rounded to 2 decimal places

Asset Class(es)

• Operating Companies

Timeframe

• All Time (Since the beginning; all values)

External Data Dependancies

• Complete historical transactions data or cost basis, and current pricing

Cost Basis

Definition

The original Purchase Price of an investment, adjusted for subsequent transactions, for tax purposes. Used to calculate Realized Gains, Capital Gains, etc.

Calculation

When available, we get the cost basis directly from our account integration providers. When we don't, we estimate the cost basis.

For assets where there's only ever a single unit that we own, we calculate cost basis by finding the proportion of the asset sold (sale value divided by market value) and use that to change the cost by that same proportion.

For assets where there's multiple units expected (e.g. stocks) we calculate an average cost basis for sales. E.g. A sale's cost would be calculated by: (Current Cost / Current Units) * Sale Units, which would then be deducted from the current cost.

Metric

• Currency, rounded to 2 decimal places

Asset Class(es)

• Angel & Direct
• Art & Collectibles
• Commodities
• Crypto & Digital
• Domestic Equity
• Fixed Income/Debt - Direct
• Fixed Income/Debt - Funds
• Foreign Equity
• Hedge Funds
• Operating Companies
• Private Equity Funds
• Real Estate - Direct
• Real Estate - Funds
• Venture Capital Funds
• Other

Timeframe

• All Time (Since the beginning; all values)

External Data Dependancies

• Complete historical transactions data, or direct cost basis

Correlation

Definition

How correlated are the changes in market values (or returns) of the asset with the market returns of the S&P500 (or any chosen benchmark or comparative asset), used to visualize relationship strength, and most frequently shown as the "correlation coefficient". This measures the degree to which two assets move in relation to each other, on a scale between -1 (the two assets move in exactly inverse directions) and +1 (the two assets move in perfect lockstep). A correlation coefficient of, or near, 0, implies that the two assets move in an uncorrelated manner.

Calculation

Take each market observation for the asset and compare to the same-day market observations of the S&P500 or chosen benchmark.

Correlation [aka: “r”, Correlation Coefficient] = (Σi(Xi – Xm) * (Yi – Ym)) / √ ( Σi (Xi – Xm)2 * Σi (Yi – Ym)2

• Where Σ = for all available or relevant periods in a data set; Xi = value of each given point in the data set for asset 1; Xm = the mean value of the data set for asset #1; Yi = value of each given point in the data set for asset 2; Ym = the mean value of the data set for asset #2

Metric

• Decimal, rounded to 2 decimal places

Asset Class(es)

• Commodities
• Crypto & Digital
• Domestic Equity
• Fixed Income/Debt - Direct
• Fixed Income/Debt - Funds
• Foreign Equity
• Hedge Funds

Timeframe

• Last 3 years (from right now) - Asset metrics pages
• Last 12 months (from right now) - Correlation Lens

External Data Dependancies

• Historical performance for both asset and comparable

Coupon Rate

Definition

Shows the stated percent return an investor receives on a bond based on the coupons paid, based on the par value of the bond. Think of this as the simplest representation of a bond's income production. It does not change over the life of the bond, regardless of whether or not the price of the bond changes in the open market.

Calculation

Coupon Rate % = Captured directly

Metric

• Percentage, rounded to 2 decimal places

Asset Class(es)

• Fixed Income/Debt - Direct

Timeframe

• All Time (Since the beginning; all values)

External Data Dependancies

• Stated coupon rate

Current Yield

Definition

The amount of income expected to be earned on an asset, expressed as a % of the asset's current value. Similar to a standard coupon rate notation, but the current yield factors in the effect of the bond trading at a premium or discount to par (par can also be known as "face value"), as noted by the current market price.

Calculation

Current Yield = Coupon Rate * ( Face Value / Current Price)

Metric

• Percentage, rounded to 2 decimal places.

Asset Class(es)

• Fixed Income/Debt - Direct

Timeframe

• All Time (Since the beginning; all values)

External Data Dependancies

• Current pricing, face or par value, and coupon rate

Dividend Yield

Definition

Represents the ratio of a company's annualized dividend relative to its current share price.

Calculation

Dividend Yield is currently captured via external services.

Data is cached for 24 hours before being refreshed.

Metric

• Percentage, rounded to 2 decimal places

Asset Class(es)

• Domestic Equity
• Foreign Equity

Timeframe

• Last 12 months (from right now)

External Data Dependancies

• Dividend/transaction history and current price

Distributed to Paid-In Multiple (DPI)

Definition

Ratio of distributions to paid-in (or invested) capital. Distributions in this use case include any cash proceeds received: dividends, interest income, and returns of capital. DPI is generally used for illiquid investments such as private equity and venture capital funds, versus a standard retirement account or equity portfolio which is generally liquid assets.

AKA: Realization Multiple, Distributed to Paid-In Multiple, DPI

Calculation

DPI = Total Realized Amounts / Total Investment

Metric

• Decimal, rounded to 2 decimal places

Asset Class(es)

• Angel & Direct
• Private Equity Funds
• Venture Capital Funds
• Other

Timeframe

• All Time (Since the beginning. All values)

External Data Dependancies

• Complete historical transactions data

Historical Volatility

Definition

Historical volatility is the standard deviation of the log returns of the daily market values of an asset, annualized on the number of observed trading days. Greater variance equates to a greater standard deviation. A relatively straightforward risk metric that is frequently used due to its commonality, particularly for investments with shared daily pricing/performance. Becomes less useful and relevant when pricing is less frequent, and can be misleading when used to compare two assets with differing frequency of data points.

Calculation

Standard Deviation =  √( ( Σ (X_i – X_m)^2 ) / n -1)

• Uses daily values (unless daily is not available, and then most frequent available is used)
• Where Σ = for all available or relevant periods in a data set; X_i = value of each given point in the data set; X_m = the mean value of the data set; n = number of data points in the data set

Metric

• Decimal, rounded to 2 decimal places

Asset Class(es)

• Commodities
• Crypto & Digital
• Domestic Equity
• Fixed Income/Debt - Direct
• Fixed Income/Debt - Funds
• Foreign Equity
• Hedge Funds

Timeframe

• Last 36 months (from right now)

External Data Dependancies

• Daily pricing & performance

Last Appraisal Date

Definition

The date of the last known formal valuation of a (generally) non-traded Asset

Calculation

Last Appraisal Date is captured directly.

Metric

• Date String

Asset Class(es)

• Art & Collectibles

Timeframe

• Last Entry (based on dated)

External Data Dependancies

• Last appraisal amount and date (direct)

Last Appraisal Value

Definition

The monetary valuation amount of a (generally) non-traded Asset. Typically used for insurance, taxation, or possible sale price purposes, in that it originates from a formal appraisal report, not a specific transaction.

Calculation

Last Appraisal Value is captured directly.

Metric

• Currency, rounded to 2 decimal places

Asset Class(es)

• Art & Collectibles

Timeframe

• Last Entry (based on dated)

External Data Dependancies

• Last appraisal amount and date (direct)

Long Exposure %

Definition

The total long exposure in a fund/portfolio/asset, as measured by a % of total assets under management (AUM) or capital. Typically relevant for hedge funds or any other portfolio that uses leverage and/or long+short exposures.

Calculation

Long Exposure % is captured directly

Metric

• Percentage, rounded to 0 decimal places

Asset Class(es)

• Hedge Funds

Timeframe

• Current

External Data Dependancies

• Long exposure as a percent of total assets under management (direct)

Manager Metrics

Definition

Manager-Related Metrics: The metrics featured for specific Managers in Copia utilize the same formulas, data, etc. as when calculated for individual Assets. However, they include all (or a noted subset of) Assets managed by that Manager, in aggregate.

Net Exposure %

Definition

The net % of investments in a fund/portfolio that is invested long, after consideration of all long and short exposures.

Calculation

Net Exposure % = Long Exposure - Short Exposure

Metric

• Percentage, rounded to 0 decimal places

Asset Class(es)

• Hedge Funds

Timeframe

• Current

External Data Dependancies

• Long exposure % and short exposure %

Net Internal Rate of Return (Net IRR)

Definition

The internal rate of return (IRR) can be a useful performance metric for comparing investments - generally speaking, the higher the IRR, the more desirable the investment. As an investment performance metric, it is used to measure how well an investor has done (or might do) with the capital they employed. It is similar to a compound annual growth rate (CAGR), but it takes into account the timing of cash flows (both inflows and outflows). In Copia, net IRR (after all fees and carried interest are factored in) is the default.

IRR is also used in capital budgeting and portfolio management to calculate an investment's overall financial quality by calculating an expected rate of return, often for comparative purposes.

When comparing two investments, the higher net IRR equates to the better return on capital invested. You could also think of it as the theoretical discount rate that would cause the NPV of future positive cash flows to equate to the NPV of expected negative cash flows. flows.

One inherent issue around the use of IRR is that it assumes all cash flows received over the course of the investment can be instantly "reinvested" at the same rate of return, when in actuality this is very rarely the case.

AKA: Internal Rate of Return, Net IRR, IRR

Calculation

Net IRR = (((Future Value/Present Value)^(# periods in a year / total # periods)) -1)

• Using XIRR library
• Models the IRR of an asset by applying either the Newton-Raphson method, or Bisection method, depending on how much data is available for the calculation. We use inflow and outflow transactions as well as the most recent (unrealized) market value of an asset.

Metric

• Percentage, rounded to 2 decimal places

Asset Class(es)

• Angle & Direct
• Art & Collectibles
• Commodities
• Crypto & Digital
• Domestic Equity
• Fixed Income/Debt - Direct
• Fixed Income/Debt - Funds
• Foreign Equity
• Hedge Funds
• Operating Companies
• Private Equity Funds
• Real Estate - Funds
• Real Estate - Direct
• Venture Capital Funds
• Other

Timeframe

• Date Range (start, finish) // defaults to all time (excluding Correlation Lens where default is last 12 months)

External Data Dependancies

• Complete historical transactions data and current pricing

Occupancy

Definition

The total % of a property's rooms/tenant space that is currently leased by rent-paying guests/tenants. Or in other words, the ratio of used space to the total amount of space available.

Calculation

Occupancy is captured directly.

Metric

• Percentage, rounded to 0 decimal places

Asset Class(es)

• Real Estate - Direct
• Real Estate - Funds

Timeframe

• Last Entry (based on dated)

External Data Dependancies

• Occupancy % (direct)

Percent Liquid

Definition

The current market value of liquid Assets assigned to a Manager, as a percent of total Assets assigned to that Manager

Calculation

% Liquid = Market value of Manager's liquid Assets / Market value of total Manager's Assets

Metric

• Percentage, rounded to 0 decimal places

Asset Class(es)

• Manager Metric

Timeframe

• Current

External Data Dependancies

• Current values, liquid/illiquid notations

Percent of Asset Class

Definition

The current market value of a specific Asset, as a percent of total Assets categorized by its Asset Class

Calculation

% of Asset Class = Market value of Asset / Market value of all Assets in this Asset Class

Metric

• Percentage, rounded to 1 decimal place

Asset Class(es)

• All

Timeframe

• Current

External Data Dependancies

• Current values, Asset Class notations

Percent of Portfolio

Definition

The percent of the total Patron portfolio represented by a particular Asset, Manager, or holding.

Calculation

% of Portfolio = Value of Asset(s) / Value of all of Patron's Assets

Metric

• Percentage, rounded to 1 decimal place

Asset Class(es)

• All

Timeframe

• Current

External Data Dependancies

• Current values

Percent Positive Months

Definition

The number of months a fund/investment had a positive return, expressed as a % of the total months in the relevant time frame (most frequently: since inception).  If a hedge fund had positive returns in 60 of the 80 months of its existence, the % positive months would be 75%.

Calculation

% Positive Months = Number of months with Positive Performance / TotalMonths

If there are missing months of data, no value is returned.

Metric

• Percentage, rounded to 0 decimal places

Asset Class(es)

• Hedge Funds

Timeframe

• All Time (Since the beginning; all values)

External Data Dependancies

• Historic monthly performance

Percent Return Contribution

Definition

The amount of total gain or loss earned by a particular Asset, Manager, or holding, as a percent of the total gain or loss earned by the entire Patron portfolio.

Calculation

% Return Contribution = Total Gain or Loss of Asset(s) / Total Gain or Loss of all Patron Assets

Metric

• Percentage, rounded to 1 decimal place

Asset Class(es)

• Angel & Direct
• Art & Collectibles
• Commodities
• Crypto & Digital
• Domestic Equity
• Fixed Income/Debt - Direct
• Fixed Income/Debt - Funds
• Foreign Equity
• Hedge Funds
• Operating Companies
• Private Equity Funds
• Real Estate - Direct
• Real Estate - Funds
• Venture Capital Funds
• Other

Timeframe

• Current

External Data Dependancies

• Complete historical transactions data and current pricing

Realized Gain/Loss

Definition

The difference between the total amount realized of an asset or security, and the cost of the asset/security directly associated with that amount sold. When proceeds > associated cost basis, you have a gain; if associated cost > proceeds, a loss has occurred.

AKA: [Realized G/L, Realized P/L, Realized Return]

Calculation

Realized Gain/Loss = Realized Amount - Cost Basis of what was Sold or Distributed

Metric

• Currency, rounded to 2 decimal places

Asset Class(es)

• Angel & Direct
• Commodities
• Crypto & Digital
• Domestic Equity
• Fixed Income/Debt - Direct
• Fixed Income/Debt - Funds
• Foreign Equity
• Hedge Funds
• Operating Companies
• Private Equity
• Real Estate - Direct
• Real Estate - Funds
• Venture Capital
• Other

Timeframe

• All Time (Since the beginning. All values)

External Data Dependancies

• Complete historical transactions data

Residual Value to Paid-In Maturity (RVPI)

Definition

The ratio of the current value of an asset to capital paid in. Ignores any already-received distributions or proceeds from income, realizations, etc.

AKA: RPI, Residual Multiple, Residual Value to Paid-In, Remaining Value to Paid-In

Calculation

RVPI = Current Value / Total Investment

Metric

• Decimal, rounded to 2 decimal places

Asset Class(es)

• Angel & Direct
• Private Equity
• Venture Capital
• Other

Timeframe

• All Time (Since the beginning; all values)

External Data Dependancies

• Complete historical transactions data and current pricing

Short Exposure %

Definition

The total short-sold exposure in a fund/portfolio/asset, as measured by a % of total assets under management (AUM) or capital. Typically relevant for hedge funds or any other portfolio that uses long+short exposures.

Calculation

Short Exposure % is captured directly.

Metric

• Percentage, rounded to 0 decimal places

Asset Class(es)

• Hedge Funds

Timeframe

• Current

External Data Dependancies

• Short exposure as a % of assets under management (direct)

Total Gain/Loss

Definition

This is the monetary value of the total positive or negative return on an asset. It is comprised of both realized and unrealized amounts.

Calculation

Total Gain/Loss = Current Value + Realized Amounts - Total Investment = Realized Gain/Loss + Unrealized Gain/Loss

Metric

• Currency, rounded to 2 decimal places

Asset Class(es)

• Angel & Direct
• Commodities
• Crypto & Digital
• Domestic Equity
• Fixed Income/Debt - Direct
• Fixed Income/Debt - Funds
• Foreign Equity
• Hedge Funds
• Operating Companies
• Private Equity
• Real Estate- Direct
• Real Estate - Funds
• Venture Capital
• Other

Timeframe

• All Time (Since the beginning; all values)

External Data Dependancies

• Complete historical transactions data and current pricing

Total Return

Definition

This is the total rate of return of an investment, expressed as a percent of the gross amount invested (aka Total Investment). It is non-annualized, and does not factor in the timing of cash flows. Comparable to a "simple" ROI calculation.

Calculation

Total Return = ((Current Value + Realized Amount – Total Investment) / Total Investment)

Metric

• Percentage, rounded to 2 decimal places

Asset Class(es)

• Angel & Direct
• Art & Collectibles
• Commodities
• Crypto & Digital
• Domestic Equity
• Fixed Income/Debt - Direct
• Fixed Income/Debt - Funds
• Foreign Equity
• Hedge Funds
• Operating Companies
• Private Equity
• Real Estate - Direct
• Real Estate - Funds
• Venture Capital
• Other

Timeframe

• All Time (Since the beginning; all values)

External Data Dependancies

• Complete historical transactions data and current pricing

Total Value to Paid-In Multiple (TVPI)

Definition

The total value of an investment, including any capital returned to investors previously, divided by the invested capital. Also equal to DPI + RVPI. Represents the multiple of cumulative distributions and current value of the investment, relative to the capital invested.

AKA: Total Value to Paid In, TVM, Time Value of Money, MOIC, ROIC, Equity Multiple, Investment Multiple

Calculation

TVPI = (Realized Amounts + Current Value) / Total Investment

• Total Value includes any previously Realized Amounts & Current Value
• Note: TVPI = DPI + RVPI

Metric

• Decimal, rounded to 2 decimal places

Asset Class(es)

• Angel & Direct
• Private Equity
• Venture Capital
• Other

Timeframe

• All Time (Since the beginning; all values)

External Data Dependancies

• Complete historical transactions data and current pricing

Unrealized Gain/Loss

Definition

The total theoretical amount that an investor has gained or lost on the asset/security purchased if it were sold today. It exists on "paper" (ex: statement value) and is based on the current value of the asset/security that has yet to be sold/redeemed/monetized. This gain/loss may potentially increase/decrease/erase if the value changes further before it is monetized. Therefore it is inherently theoretical, and taxes are not paid on it, but statement values, etc. usually change based on it, considering it as the "fair value" of the asset. When value > cost, you have an unrealized gain, if value < cost, you have an unrealized loss.

Calculation

Unrealized Gain/Loss = Total Gain/Loss - Realized Gain/Loss

Metric

• Currency, rounded to 2 decimal places

Asset Class(es)

• Real Estate - Direct
• Real Estate - Funds

Timeframe

• All Time (Since the beginning; all values)

External Data Dependancies

• Complete historical transactions data and current pricing

Yield

Definition

The amount of income received on an investment as a % of the current value. Based on the last 12 months of income received.

Calculation

Yield = Interest or Income / Current Price

Metric

• Percentage, rounded to 2 decimal places

Asset Class(es)

• Fixed Income/Debt - Funds
• Real Estate - Direct
• Real Estate - Funds

Timeframe

• Last 12 months (from right now)

External Data Dependancies

• Income/transaction history and current price

Yield to Maturity

Definition

The annualized total return expected on a bond if it is held to maturity and repays the full original principal amount along with all expected interim cash flows. Consider it like an IRR of a bond. The YTM, like current yield, factors in the effect of a bond being purchased at a premium or discount to par. But like IRR, the YTM assumes all interest payments or coupons are reinvested at the same rate of return as the bond, which in practice is less likely. The YTM calculation can get increasingly complex, particularly with bond coupons at more frequent intervals than annual, and generally the "estimated" yield to maturity is actually used. As such, Copia uses estimated yield to maturity here.

AKA: YTM, Yield to Maturity, Estimated Yield to Maturity

Calculation

Yield to Maturity =  (C + ((FV-PV)/T)) / ((FV+PV)/2)

• Where C = annual coupon payout; FV = bond’s face value; PV = current market price of bond; T = time to maturity (i.e. # of years)

Metric

• Percentage, rounded to 2 decimal places

Asset Class(es)

• Fixed Income/Debt - Direct

Timeframe

• All Time (Since the beginning; all values)

External Data Dependancies

• Current pricing, face or par value, coupon rate, maturity date