Portfolio & Risk
Sharpe and Sortino ratios, beta, alpha, R², standard deviation, and Modern Portfolio Theory metrics.
Portfolio Risk Metrics
Sharpe Ratio
(Rₚ − Rf) / σₚ
Sortino Ratio
(Rₚ − Rf) / σₐ (downside σ)
Treynor Ratio
(Rₚ − Rf) / β
Jensen's Alpha
α = Rₚ − [Rf + β(Rₘ − Rf)]
Information Ratio
(Rₚ − Rb) / TE (tracking error)
CAPM
Expected return
E(R) = Rf + β·(E(Rₘ) − Rf)
β > 1 ⇒ more volatile than market. β < 1 ⇒ defensive. β = 1 ⇒ moves with market.
Related calculator
Beta Hedge
Determine the number of index futures lots needed to hedge a portfolio using beta.
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