Risk Management
Value at Risk (VaR) Calculator
Calculate parametric, historical, and Monte Carlo Value at Risk for any portfolio. Estimate potential losses...
Risk Management
EWMA Volatility Calculator: EWMA and GARCH(1,1) Volatility Estimation
Estimate and forecast volatility using EWMA and GARCH(1,1) models. Compare exponentially weighted and generalized autoregressive...
Risk Management
Fama-French Calculator
Run Fama-French three-factor and five-factor model regressions. Decompose portfolio returns into market, size, value, profitability,...
Risk Management
Information Ratio Calculator
Calculate the information ratio to measure portfolio manager skill. Compare active return relative to tracking...
Risk Management
Sortino Ratio Calculator: Risk-Adjusted Return with Downside Deviation
Calculate the Sortino ratio using downside deviation instead of total volatility. Measure risk-adjusted returns that...
Risk Management
Tracking Error Calculator
Calculate ex-post tracking error and annualized tracking error for portfolio performance evaluation. Measure how closely...
Risk Management
Performance Attribution Calculator: Brinson-Fachler Allocation, Selection, and Interaction Analysis
Perform Brinson-Fachler performance attribution analysis. Decompose portfolio returns into allocation, selection, and interaction effects relative...
