Annualized Return
-
Volatility
-
Sharpe Ratio
-
Step 1: Upload Your Returns
Drag & Drop Your File Here
or click to browse
Supported formats: CSV, XLS, XLSX (max 10MB)
filename.csv
1.2 KBData Preview
Detecting data format...
| Date | Return |
|---|
Showing first 5 rows
File Format Requirements
Your file should have two columns: a date and a return value.
| Date | Return |
|---|---|
2024-01 |
0.05 |
2024-02 |
-0.02 |
Example: 0.05 = 5% gain, -0.02 = 2% loss
Note: Use simple returns, not logarithmic. Simple return = (P1 - P0) / P0
Date formats: YYYY-MM-DD, YYYY-MM, MM/DD/YYYY
Returns: Decimal (0.05) or percentage (5) - auto-detected
Step 2: Configure Analysis
Upload a file to begin analysis
Analysis Results
Analysis Period:
Jan 2023 - Dec 2023 (12 months)
vs SPY
Key Performance Metrics
Max Drawdown
-
Alpha
-
Beta
-
Portfolio vs Benchmark Comparison
| Metric | Portfolio | Benchmark | Difference |
|---|
Cumulative Performance
Portfolio
Benchmark
Important Disclaimer
This tool is for educational and informational purposes only. The analysis provided does not constitute investment advice, a recommendation, or an offer to buy or sell any securities.
- Not Investment Advice: Results should not be used as the sole basis for investment decisions
- Accuracy Not Guaranteed: Calculated metrics may contain errors
- Past Performance: Historical returns do not guarantee future results
- Verify Independently: Users must verify calculations before making decisions
Always consult with a qualified financial advisor. By using this tool, you acknowledge and accept these limitations.
Understanding the Metrics
Sharpe Ratio
Measures risk-adjusted return by comparing excess returns to volatility. Higher values indicate better risk-adjusted performance.
Sharpe = (Return - Risk-Free Rate) / Volatility
Sortino Ratio
Similar to Sharpe, but only penalizes downside volatility. Better for portfolios with asymmetric returns.
Sortino = (Return - Risk-Free Rate) / Downside Deviation
Alpha (Jensen's Alpha)
Measures excess return compared to what would be expected given the portfolio's beta. Positive alpha indicates outperformance.
Alpha = Return - [RF + Beta * (Benchmark - RF)]
Beta
Measures sensitivity to market movements. Beta > 1 means more volatile than the market; Beta < 1 means less volatile.
Beta = Cov(Portfolio, Benchmark) / Var(Benchmark)
Maximum Drawdown
The largest peak-to-trough decline during the period. Indicates the worst-case loss scenario.
Max DD = (Peak - Trough) / Peak
Information Ratio
Measures consistency of excess returns relative to the benchmark. Higher values indicate more consistent outperformance.
IR = Active Return / Tracking Error
Need Custom Analysis?
I offer freelance financial analysis services including custom portfolio analysis, performance attribution, risk modeling, and more.
View Freelance Services
Data Sources: Benchmark data provided by Tiingo.
Risk-free rate data from Federal Reserve Economic Data (FRED).
All performance calculations are based on standard financial industry methodologies.
How to Measure Portfolio Performance
Looking at raw returns only tells part of the story. To truly understand how your portfolio is performing, you need to measure risk-adjusted returns and compare against a relevant benchmark.
This tool calculates the key metrics used by professional investors and fund managers to evaluate portfolio performance. Simply upload your return series, select a benchmark, and get a complete performance analysis.
Understanding Risk-Adjusted Returns
Two portfolios might both return 15% in a year, but if one did it with wild swings while the other was steady, they're not equal. Risk-adjusted metrics help you understand how much return you're getting for the risk you're taking.
Sharpe Ratio
The Sharpe Ratio measures excess return per unit of total risk. It answers: "How much extra return am I getting above the risk-free rate for each unit of volatility?"
| Sharpe Ratio | Interpretation |
|---|---|
| Below 1.0 | Poor - returns don't justify the risk |
| 1.0 - 2.0 | Good - acceptable risk-adjusted performance |
| 2.0 - 3.0 | Very Good - strong risk-adjusted returns |
| Above 3.0 | Excellent - exceptional performance |
Sortino Ratio
The Sortino Ratio is similar to Sharpe but only considers downside volatility. This makes it useful when you care more about avoiding losses than capturing all upside movements.
- Use Sharpe when evaluating overall volatility and long-term strategies
- Use Sortino when minimizing losses is your priority
- Use both for a complete picture of risk-adjusted performance
Alpha and Beta: Skill vs. Market Exposure
Beta
Beta measures how sensitive your portfolio is to market movements. It tells you how much your portfolio tends to move when the benchmark moves.
- Beta = 1.0: Moves in line with the benchmark
- Beta > 1.0: More volatile than the benchmark (e.g., Beta of 1.2 means 20% more volatile)
- Beta < 1.0: Less volatile than the benchmark
- Negative Beta: Moves opposite to the benchmark
Alpha (Jensen's Alpha)
Alpha measures excess return above what would be expected given your portfolio's Beta. It's the value added (or lost) beyond market exposure.
- Positive Alpha: Your portfolio outperformed its expected return - good stock picking or timing
- Zero Alpha: Performance matches what's expected for the risk taken
- Negative Alpha: Underperformance relative to the risk taken
Maximum Drawdown
Maximum Drawdown shows the largest peak-to-trough decline during the analysis period. It answers: "What's the worst loss I would have experienced?"
This metric is important because:
- It shows real-world downside risk, not just theoretical volatility
- Large drawdowns can be psychologically difficult to endure
- Recovery from large losses requires even larger gains (a 50% loss needs a 100% gain to recover)
Information Ratio
The Information Ratio measures active return (your return minus the benchmark) divided by tracking error (the volatility of that difference). It shows how consistently you're outperforming the benchmark.
- A higher Information Ratio means more consistent outperformance
- Unlike Sharpe, it uses the benchmark as the reference point instead of the risk-free rate
- Useful for evaluating active management decisions
How to Use This Tool
- Prepare your data: Create a file with two columns - dates and returns. Returns should be in decimal format (0.05 for 5%, -0.02 for -2%).
- Upload your file: Drag and drop or click to upload. We support CSV, XLS, and XLSX formats.
- Select frequency: Choose whether your data is daily or monthly returns.
- Choose a benchmark: Select from common benchmarks (SPY, QQQ, VTI, IWM) or search for any ticker.
- Analyze: Click the analyze button to calculate all metrics and generate the comparison chart.
- Download: Get a PDF report or CSV of your results to share or keep for your records.
Frequently Asked Questions
A Sharpe Ratio below 1 is generally considered poor. A ratio between 1 and 2 is good, between 2 and 3 is very good, and above 3 is excellent. However, context matters - compare your ratio to similar investment strategies and benchmarks for a meaningful assessment.
Use Sharpe Ratio for a general view of risk-adjusted returns when you care about all volatility. Use Sortino Ratio when you're primarily concerned with downside risk and losses, as it only penalizes negative volatility. For a complete picture, use both metrics together.
A negative Alpha means your portfolio underperformed what would be expected given its level of risk (Beta). If your Alpha is -2%, your portfolio returned 2% less than expected based on how much market risk you took. Positive Alpha indicates outperformance.
Choose a benchmark that matches your investment strategy. For U.S. large-cap stocks, use SPY (S&P 500). For tech-heavy portfolios, QQQ (NASDAQ-100) may be appropriate. For total market exposure, use VTI. For small-caps, consider IWM. The benchmark should reflect what you're actually investing in.
Maximum Drawdown measures the largest percentage decline from a peak to a subsequent trough before a new peak is reached. It shows the worst-case loss you would have experienced if you invested at the peak and sold at the lowest point during the analysis period.
