About this reference
Who publishes it, how it is put together, what it deliberately does not do.
Who
This site is published by Wall Street Wiki. A reference published by the wallstreet.wiki network. Every figure is stated as a formula and recomputed from it, every convention names the authority that sets it, and corrections are versioned and dated.
Why it exists
Quantitative finance is well served by libraries and badly served by references. Implementations are readable but do not state their assumptions; papers state their assumptions but not the arithmetic; glossaries state neither. This corpus is the third thing: the estimator, the exact conditions under which it is valid, and a worked number computed from data published here so the reader can check it. It is written for someone implementing, not someone learning vocabulary, and an entry that a practitioner would find obvious has been left out. Notation is uniform across the whole site. Returns and moments: r_t is a periodic return, mu the arithmetic mean return per period, g the geometric mean, sigma the standard deviation of returns and sigma^2 the variance, gamma3 the skewness and gamma4 the kurtosis (not excess kurtosis - 3 for a normal distribution). Samples and frequency: T is the number of observations, P the number of periods per year (12 throughout the worked examples, 252 for the daily volatility estimators), n a window length in periods, and q an aggregation horizon in periods. Rates and ratios: rf is the risk-free rate per period, MAR a minimum acceptable return, SR the Sharpe ratio, and IR the information ratio. Portfolios: w is a vector of weights, Sigma an N by N covariance matrix, 1 a vector of ones, m the vector of expected excess returns, N the number of assets or of independent trials depending on context and stated at each use, and beta a regression coefficient against a benchmark. Correlations and autocorrelations are both written rho, subscripted by asset pair or by lag as the context requires. Distributions: Z() is the standard normal cumulative distribution function and Z^-1() its inverse. Lambda appears as a risk-aversion coefficient, an EWMA decay factor and Kyle's price-impact coefficient, and which one is meant is stated at every use. Every performance, risk and drawdown statistic on this site is computed from one return series, published in full in the first table of the performance section: 24 monthly percentage returns for a strategy, a matching benchmark series, and a constant risk-free rate of 0.20 percent per month. The volatility estimators are all computed from one set of ten daily OHLC bars, also published in full. The portfolio construction rules are all applied to one three-asset covariance matrix, also published in full. A reader can therefore reproduce every figure on the site from three tables, and any figure labelled Worked that cannot be reproduced is an error worth reporting. Where a worked example needs inputs outside those three datasets - an order size, a GARCH parameter set, a trial count - the inputs are stated explicitly in the entry. Where a statistic has more than one estimator in general use, every variant is given with its own worked value rather than one being chosen silently. That is the main editorial decision on this site: the disagreement between two conventions is usually larger than the difference the statistic is being used to measure, and hiding it is the failure mode this reference exists to avoid.
How it is built
Every page here is generated from a single reviewed data file. That has consequences worth stating: the content is a data edit rather than a code change, every page has a JSON twin carrying the same facts without markup, and the review date attached to a page comes from the data file rather than from the build clock - so rebuilding without changing anything does not make the content look fresher than it is.
| Property | This site |
|---|---|
| Licence | CC BY 4.0 - https://creativecommons.org/licenses/by/4.0/ |
| Content reviewed | 2026-08-27 |
| Machine-readable corpus | /index.json and /llms-full.txt |
| Change feed | /changes.json - poll this instead of re-crawling |
| Network | 9 sibling references, indexed at wallstreet.wiki |
| Third-party requests | None. No fonts, no CDN, no analytics, no trackers on any page. |
| Contact | [email protected], or the form. Corrections get answered first. |
What is deliberately not here
No investment performance figures. Not because there are none, but because an unaudited return published on a commercial site is the specific thing securities counsel warns about, and the antifraud rules reach a publisher whether or not they are a registered adviser. If figures ever appear here they will have been reviewed first.
No recommendations. Nothing on this site says what to buy, when, or in what size. It states how the arithmetic works. That line is deliberate: impersonal, generally circulated financial writing is publishing, and personalised advice is something else with a different regulatory regime attached.
No market levels presented as fact. Every number in a worked example is an input chosen so the arithmetic can be checked, not an observation of where anything trades. Structures and formulas are durable; levels are not, and a stale level stated confidently is worse than no level at all.
Corrections
If a formula or a worked figure here is wrong, that is worth more to fix than anything else on the site, and the fastest route is the contact form. Corrections are recorded in the change feed with a date, so what changed and when is auditable rather than silently overwritten.