Calculator inputs
Enter annualized values as percentages except beta. The result section appears above this form after submission.
Example data table
These sample numbers help you test the calculator and understand the output.
| Input | Example value | Sample output impact |
|---|---|---|
| Portfolio return | 14.00% | Drives excess return and most ratios upward. |
| Risk-free rate | 4.00% | Sets the hurdle rate for excess return. |
| Benchmark return | 11.00% | Used in active return and Jensen Alpha. |
| Standard deviation | 12.00% | Produces a sample Sharpe Ratio near 0.8333. |
| Downside deviation | 8.00% | Produces a sample Sortino Ratio near 1.2500. |
| Beta | 1.1000 | Produces a sample Treynor Ratio near 0.0909. |
| Tracking error | 5.00% | Produces a sample Information Ratio near 0.6000. |
| Maximum drawdown | 18.00% | Produces a sample Calmar Ratio near 0.7778. |
| Benchmark volatility | 10.00% | Produces a sample M2 Measure near 12.33%. |
Formula used
Core return measures
Excess Return = Portfolio Return − Risk-Free Rate
Active Return = Portfolio Return − Benchmark Return
Sharpe and Sortino
Sharpe Ratio = (Portfolio Return − Risk-Free Rate) ÷ Standard Deviation
Sortino Ratio = (Portfolio Return − Risk-Free Rate) ÷ Downside Deviation
Benchmark-aware ratios
Treynor Ratio = (Portfolio Return − Risk-Free Rate) ÷ Beta
Jensen Alpha = Portfolio Return − [Risk-Free Rate + Beta × (Benchmark Return − Risk-Free Rate)]
Information Ratio = (Portfolio Return − Benchmark Return) ÷ Tracking Error
Drawdown and efficiency measures
M2 Measure = (Sharpe Ratio × Benchmark Volatility) + Risk-Free Rate
Calmar Ratio = Portfolio Return ÷ Maximum Drawdown
Coefficient of Variation = Standard Deviation ÷ |Portfolio Return|
All percentage inputs are converted into decimal form internally before calculation.
How to use this calculator
- Enter a portfolio name for easier report exports.
- Add annual portfolio, benchmark, and risk-free returns.
- Enter risk statistics such as volatility, downside deviation, beta, tracking error, drawdown, and benchmark volatility.
- Click the calculate button to show results above the form.
- Review the ratio cards, score summary, and interpretation notes.
- Use the CSV or PDF buttons to save the result report.
- Press the example button if you want a quick demo dataset.
FAQs
1. What is risk-adjusted return?
Risk-adjusted return shows how much return was earned for the level of risk taken. It helps compare investments that have different volatility, drawdown, or benchmark sensitivity.
2. Why are Sharpe and Sortino both included?
Sharpe uses total volatility, while Sortino uses only downside volatility. Together they show whether all risk is high or whether harmful negative swings are the bigger problem.
3. What does Jensen Alpha tell me?
Jensen Alpha estimates whether the portfolio beat the return expected from its beta. A positive alpha suggests value beyond broad market exposure.
4. Why does the calculator need tracking error?
Tracking error is needed for the Information Ratio. It measures how much active return you generated for each unit of benchmark-relative deviation.
5. When is Calmar Ratio useful?
Calmar Ratio is useful when drawdown control matters, especially for trend, tactical, or absolute-return strategies where large losses can damage capital and behavior.
6. Can beta be negative?
Yes. A negative beta means the portfolio tends to move opposite the benchmark. Treynor and alpha remain informative, but interpretation should be more careful.
7. Should I use monthly or annual figures?
Use one consistent time basis for every input. This page is designed for annualized percentages, so monthly figures should be annualized before entry.
8. Does a high score guarantee future outperformance?
No. The score summarizes current inputs only. It supports comparison and review, but future results still depend on market conditions, diversification, and portfolio decisions.