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Performance
Portfolio Analysis
Portfolio Performance
Sharpe Ratio
Martin Ratio
Treynor Ratio
Sortino Ratio
Omega Ratio
Calmar Ratio
Summers Ratio
Alpha
Risk
Drawdowns
Expected Shortfall (CVaR)
Ulcer Index
Value at Risk
Close-to-Close Volatility
Parkinson Volatility
Garman-Klass Volatility
Rogers-Satchell Volatility
Yang-Zhang Volatility
Beta
Discussions
Documentation
This portfolio analysis tool allows you to backtest portfolio returns, drawdowns, various risk characteristics, and compare them to a benchmark.
Portfolio Performance is a tool that helps you visualize a portfolio's gains or losses over a given period and easily compare them to a selected benchmark.
Sharpe Ratio is a performance indicator that shows the investment portfolio's efficacy relative to its risk. It helps investors understand whether a higher portfolio's return is due to a higher risk or a result of a better investment decision.
Assess the risk-adjusted returns of your investments using the Martin Ratio indicator. It's similar to the Sharpe ratio but evaluates risk based on the depth and duration of price declines.
Treynor Ratio is a performance indicator that estimates the volatility-adjusted efficacy of investment. It is similar to the Sharpe ratio but uses beta as a risk measure.
Sortino Ratio is an indicator that measures a portfolio's risk-adjusted performance. It is similar to the Sharpe ratio but uses downside deviation as a measure of risk.
The Omega ratio is a performance measure used in finance to evaluate the risk-adjusted returns of an investment. It is similar to other measures such as the Sharpe ratio, but it places more emphasis on the tail end of the distribution of returns.
Calmar Ratio is a metric that measures the risk-adjusted performance of a portfolio. It is similar to the Sharpe ratio but uses the maximum drawdown as a measure of risk.
The Summers Total Risk-Adjusted Performance Measure is a modified version of the Omega ratio that is scaled by the expected downside return of the market. This measure aims to provide a comprehensive and user-friendly way to evaluate the performance of an investment relative to the market.
Alpha is a measure indicating how well a stock or portfolio has performed in comparison to the broad market or a benchmark index.
Drawdown is a risk measure that shows how deep an asset or portfolio has fallen from its maximum and how long it has taken to recover.
Expected Shortfall is a risk measure that shows the amount of loss if the loss exceeds VaR. Expected Shortfall is known by other names, such as tail VaR, CVaR, and tail loss.
Ulcer Index is a risk measure that shows the average magnitude of drawdowns in a portfolio.
Value at Risk (VaR) is a risk measure that measures the loss in a portfolio over a pre-specified time horizon, assuming some level of probability.
Close-to-Close volatility is a classic and most commonly used volatility measure, sometimes referred to as historical volatility.
Parkinson volatility is a volatility measure that uses the stock’s high and low price of the day.
Garman Klass is a volatility estimator that incorporates open, low, high, and close prices of a security.
Rogers-Satchell is an estimator for measuring the volatility of securities with an average return not equal to zero.
Yang Zhang is a historical volatility estimator that handles both opening jumps and the drift and has a minimum estimation error.
Beta is a popular risk measure of a security or portfolio used in the capital asset pricing model (CAPM). It shows how asset price moves in comparison to its reference market.
Portfolio Optimization is a tool that helps you find the best asset allocation according to your objectives.
Risk parity portfolio optimization is a portfolio construction strategy that aims to allocate capital across various asset classes to equalize each asset class's contribution to the portfolio's overall risk.
Hierarchical Risk Parity (HRP) is a portfolio optimization method that uses elements of graph theory and machine learning algorithms to group similar assets together. These groups are then used for spreading risk equally, aiming to create a diversified portfolio that's less sensitive to market volatility.
Hierarchical Equal Risk Contribution (HERC) optimization groups related assets into clusters and allocates risk more evenly across those groups.
Analyze portfolio diversification, find correlated clusters, and discover low-correlation ETF and stock candidates that can reduce concentration risk.
Asset correlation is a measure that shows how the prices of two securities move in relation to each other.
Stock comparison is a tool that allows you to compare key performance indicators of stocks or funds, such as profitability and riskiness.
Browse popular lazy portfolios with asset allocation, historical performance, risk metrics, and ETF implementation details.
Explore community investment portfolios, compare performance and risk, and discover portfolio ideas shared by PortfoliosLab users.
ETF Screener allows you to filter and screen ETFs based on various parameters such as fund's expense ratio, performance, or risk.
Stock Screener allows you to filter and screen stocks based on various parameters such as sector, industry, performance, or risk.
Fund Screener allows you to filter and screen mutual funds based on various parameters such as expense ratio, performance, or risk.
