Performance Analysis
/PortfoliosLab Risk / Return Rank
PortfoliosLab Risk / Return Rank
See how PortfoliosLab scores risk-adjusted performance from 0 to 100, what each rank means, and how to read it for stocks, funds, and portfolios.
The Risk / Return Rank is a score from 0 to 100 that shows how efficiently an investment or portfolio turned risk into return compared with its PortfoliosLab peer group. A rank of 85 means it performed better than about 85% of that group.
Return on its own does not tell you what a result cost in risk, and no single ratio tells the whole story either. The rank condenses five risk-adjusted measures into one comparable number, so you can see where something stands without reading five separate charts. It appears on symbol pages, screeners, comparisons, and portfolio analysis, so the same yardstick follows you from a screen of thousands of symbols down to the handful you study in detail.
Rank Calculation
For each supported period, PortfoliosLab first calculates five risk-adjusted ratios. It converts each ratio into a percentile rank within the relevant peer group, then combines those ranks into a single weighted average.
The five components measure different parts of the return-for-risk relationship:
Sharpe Ratio
Compares annualized excess return with total return volatility.
Sortino Ratio
Compares return above the hurdle rate with downside deviation.
Omega Ratio
Compares returns above and below the Minimum Acceptable Return.
Calmar Ratio
Compares annualized excess return with maximum drawdown.
Martin Ratio
Compares annualized excess return with the depth and duration of drawdowns.
The combined rank is reported only when all five component ranks are available. If one ratio cannot be calculated for a period, that period has no combined rank.
Peer Groups
Every rank answers one question: how much of the peer group did this investment beat?
Stocks, ETFs, mutual funds, and other symbols are ranked against symbols of the same type. An equity rank of 80 therefore compares the equity with other equities, while an ETF rank of 80 compares the ETF with other ETFs.
Portfolio ranks use qualifying PortfoliosLab portfolios as their peer group. Cloned, empty, invalid, unnamed, test, single-asset, and unusually leveraged portfolios are excluded from that comparison.
When Stock Comparison includes different asset types, each rank still uses its own peer group. An equity and an ETF can both rank 80 while being compared with different universes.
Periods and Return Hurdle
PortfoliosLab calculates separate ranks for trailing 1-year, 5-year, and 10-year periods. A period rank requires enough price history to calculate every component over the complete period. There is no all-time or since-inception rank.
The site-wide ranking baseline uses a 0% annual risk-free rate / Minimum Acceptable Return (MAR). When a comparison or analysis tool uses another rate, PortfoliosLab recalculates the underlying ratios with that hurdle but hides the percentile rank because it would no longer be comparable with the site-wide peer data.
The ratio calculations use the same period but different risk definitions. Sharpe uses total volatility, Sortino uses downside deviation, Omega uses returns around MAR, Calmar uses maximum drawdown, and Martin uses the Ulcer Index.
How to Read a Rank
A rank of 85 means the investment performed better than about 85% of its peer group over that period. A rank of 50 sits in the middle of the group.
| Rank | What it means |
|---|---|
| 80–100 | Better than most of the peer group |
| 60–80 | Above the peer average |
| 40–60 | Around the middle of the peer group |
| 20–40 | Below the peer average |
| 0–20 | Weaker than most of the peer group |
The five component ranks sit underneath the combined value, and they can disagree. An investment can rank high on Sharpe and lower on Calmar, which says it was steady day to day but took a deep drawdown along the way. When two candidates rank close together, the components explain what actually separates them.
Small rank differences are not decisive. The peer universe and its underlying data change over time, so treat a rank as a position in a group rather than a precise score.
Examples
Two funds with the same return
Two ETFs in the same peer group both returned about 11% a year over the trailing 5 years. One ranks 88, the other 42.
The ranks say the first fund produced that return with a steadier path — less volatility, shallower drawdowns — while the second needed more risk for the same result. Their component ranks show which measure drove the gap. Stock Comparison puts both sets of ranks side by side.
A rank that changes with the period
An ETF ranks 92 over 1 year and 45 over 10 years. That describes a strong recent run inside a longer, more ordinary record.
The reverse pattern — 45 over 1 year and 88 over 10 years — describes a long-term performer going through a weak stretch. Reading all three periods together shows whether a rank reflects a durable pattern or a recent one, which a single-period number cannot tell you.
A portfolio ranked below its own holdings
A portfolio ranks 38 while most of its positions rank above 70 in their own peer groups.
Strong individual holdings can still combine into a portfolio that carries concentrated risk, usually because the positions move together in a drawdown. The two ranks use different peer groups, so they are not directly comparable, but a gap this wide is worth investigating — Diversification Analysis shows the correlation clusters behind it.
Rank in PortfoliosLab Tools
The rank appears wherever you are choosing between investments:
Symbol pages
The overall rank with its five component ranks, for 1Y, 5Y, and 10Y.
Screeners
A sortable column, so you can order a filtered universe by risk-adjusted performance. See the Screener Guide.
Stock Comparison
A separate rank for each selected symbol. The selected symbols are not combined into a temporary portfolio rank.
Portfolio Analysis
A rank for the complete portfolio plus symbol ranks for its positions, each within its own peer group.
Diversification Analysis
A filter as well as a column — only candidates ranked 50 or higher are suggested. See Diversification Analysis.
For the formula and limitations of the most widely used component, see Sharpe Ratio Explained.
Limits
A high rank is evidence that an investment delivered its return efficiently in the past. It is not a forecast, and on its own it is not a buy or sell signal — the peer group can shift, and a leading rank in a weak group is still a weak result in absolute terms.
The rank also does not account for valuation, fees, liquidity, taxes, or how an investment would interact with what you already hold. Read it alongside the component metrics, drawdowns, volatility, and the role the investment is meant to play in your portfolio.