Portfolio Performance Calculator

Analyze portfolio performance with comprehensive risk metrics including Sharpe ratio, volatility, and alpha. Professional tool for investment tracking and performance evaluation.

Portfolio Analysis

Initial Portfolio Value ($):

Current Portfolio Value ($):

Time Period:

Period Type:

Benchmark Return (%):

Risk-Free Rate (%):

Current Treasury rate for Sharpe ratio calculation

Historical Portfolio Values (Optional)

Add historical portfolio values to improve volatility and drawdown calculations

Performance Metrics

Enter portfolio data to see performance

Risk Analysis

Risk metrics will appear here

Portfolio Summary

Initial Value:$100,000

Current Value:$125,000

Time Period:2 years

Benchmark:10%

Data Points:0

Analysis Tips

Sharpe ratio > 1.0 indicates excellent risk-adjusted returns

Alpha measures excess return vs benchmark performance

Add historical data points for more accurate volatility calculation

Lower max drawdown indicates better downside protection

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Understanding Portfolio Performance

Master the key metrics for analyzing and evaluating investment portfolio performance

Return Metrics

Total Return: Overall percentage gain/loss over the period.

Annualized Return: Compound annual growth rate (CAGR).

Annualized returns allow comparison across different time periods.

Risk Metrics

Volatility: Standard deviation of returns, measuring price fluctuation.

Max Drawdown: Largest peak-to-trough decline during the period.

Higher risk should be compensated with higher expected returns.

Risk-Adjusted Returns

Sharpe Ratio: Excess return per unit of volatility.

Calmar Ratio: Annual return divided by maximum drawdown.

These ratios help compare portfolios with different risk profiles.

Performance Evaluation Guide

Excellent

Strong risk-adjusted returns with controlled downside.

• Annual return > 15%
• Sharpe ratio > 1.5
• Low max drawdown
• Positive alpha

Good

Solid returns with reasonable risk management.

• Annual return 7-15%
• Sharpe ratio 1.0-1.5
• Moderate volatility
• Meets benchmarks

Fair

Average performance requiring improvement.

• Annual return 4-7%
• Sharpe ratio 0.5-1.0
• High volatility
• Needs optimization

Poor

Requires significant strategy revision.

• Annual return < 4%
• Sharpe ratio < 0.5
• Excessive risk
• Strategy overhaul needed

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