Evaluate whether your portfolio’s returns justify the risk. Measure alpha, beta, Sharpe, Sortino, drawdowns, tracking error, and benchmark comparisons in one dashboard.
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Paste your portfolio and benchmark returns (%, separated by commas or new lines) or load one of our sample scenarios.
Tip: use % values. We automatically treat values above 1 or below -1 as percentages (e.g., 2.5 becomes 2.5%).
Keep return series aligned period-for-period for the cleanest analysis.
Best for most portfolio statements
Example: 3-month T-Bill yield. We convert this to month returns automatically.
Minimum acceptable return (MAR). Many investors choose 0-3% depending on goals.
-67.73%
Risk-adjusted value added vs S&P 500. -43.64% vs benchmark
0.36
Market sensitivity relative to S&P 500. Values above 1.0 amplify swings; below 1.0 dampen them.
-0.85
Excess return per unit of total volatility using a 4.2% risk-free rate.
-0.84
Downside-only risk efficiency vs 3.0% minimum acceptable return.
-95.47%
Largest peak-to-trough decline with recovery time Not yet recovered.
76.58%
Standard deviation of returns annualized (12 periods per year).
76.88%
Annualized downside-only volatility—focus on harmful returns below your MAR.
Track total return growth vs. benchmark from a 0% starting point.
Validate whether your returns justify the risk relative to S&P 500. Higher ratios while maintaining reasonable drawdowns signal a skill-based edge.
| Metric | Growth Portfolio | S&P 500 | Interpretation |
|---|---|---|---|
| Annualized Return | -77.15% | -33.50% | Lagged S&P 500 by -43.64% annualized. |
| Volatility (σ) | 76.58% | 87.28% | Lower annual volatility by 10.70 pts. |
| Sharpe Ratio | -0.85 | -0.43 | Growth Portfolio earns -81.35% excess return with Sharpe -0.85. |
| Sortino Ratio | -0.84 | — | Downside-only risk efficiency of -0.84 relative to 3.0% target. |
| Beta | 0.36 | 1.00 | Defensive posture: 64% less volatility than S&P 500. |
| Max Drawdown | -95.47% | -80.00% | Growth Portfolio fell -95.47% at worst. Recovery Not yet recovered. |
| Tracking Error | 89.33% | — | Performance deviates 89.33% annually from S&P 500. |
| Information Ratio | -0.49 | — | Growth Portfolio delivers lagging return of -43.64% per -0.49 tracking-error units. |
| Correlation | 0.41 | 1.00 | Moderate correlation—still partially tied to S&P 500. |
Translate quantitative metrics into plain-English takeaways before you rebalance or switch strategies.
Keep your portfolio on track with these guardrails:
Stay disciplined when:
Lean into strengths when:
Run these analytics every quarter and before major rebalances to keep risk and return aligned with your goals.
Pair this analysis with follow-up tools to lock in improvements.
Alpha tells you whether active decisions added value beyond the benchmark. Beta shows how aggressively you take market risk. Sharpe and Sortino ratios reveal if your returns justify the volatility. Max drawdown exposes the pain you had to endure to earn those gains.
Match your benchmark to your asset allocation. Use the S&P 500 for U.S. equities, a 60/40 blend for balanced portfolios, or bond indices for income strategies. Comparing apples-to-apples keeps your alpha, beta, and tracking error honest.
Export monthly or weekly returns from your brokerage, paste them here, and run this analysis each quarter. Track how alpha, Sharpe, and drawdowns trend over time to know whether your strategy is improving or drifting.
Understand the essential concepts behind this calculator
Excess return above benchmark. Positive alpha = beat the market. Most actively managed funds have negative alpha after fees.
Volatility compared to market. Beta of 1.0 = moves with market. Beta of 1.5 = 50% more volatile. Measures risk, not return.
Risk-adjusted return measure. Higher is better. 1.0+ is good. Compares excess return to volatility—rewards returns, penalizes risk.
How much an investment's price or returns bounce around over time—higher volatility means larger swings and higher risk.
Common questions about the Portfolio Performance Analytics
• Average annual return (1926-2024): ~10% nominal, ~7% inflation-adjusted
• Standard deviation: ~20% (indicating significant year-to-year volatility)
→ Source: NYU Stern - Historical Returns on Stocks, Bonds and Bills
• S&P 500 average dividend yield: 1.5-2.0% (as of 2024-2025)
• Historical dividend growth rate: ~5.9% annually (1960-2024)
→ Source: S&P Dow Jones Indices
• 10-Year Treasury bonds: ~5% average annual return (1926-2024)
• Corporate bonds (investment grade): ~6% average annual return
→ Source: NYU Stern - Corporate Finance Data
• Long-term average: ~3% annually (1926-2024)
• Recent (2020-2024): 2-8% range with 2022 peak at 8%
→ Source: Bureau of Labor Statistics - Consumer Price Index
Important: Past performance does not guarantee future results. Market returns vary significantly year-to-year. These are long-term historical averages.
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This Portfolio Performance Analytics provides estimates for educational and informational purposes only. Actual results may vary significantly based on individual circumstances, market conditions, regulatory changes, and other factors beyond the scope of this calculator.
The calculations and projections provided are based on assumptions and historical data that may not reflect future performance.Past performance does not guarantee future results.
This tool is not financial advice, tax advice, legal advice, or investment advice. For personalized guidance tailored to your specific situation, please consult with qualified professionals including:
Data Accuracy: All data sources, statistics, and rates were verified as accurate as of October 2025. Tax rates, market conditions, and other financial data change over time. Always verify current rates and consult official sources.
No Warranties: While we strive for accuracy, we make no warranties or guarantees regarding the accuracy, completeness, or reliability of any information provided. Use this tool at your own risk.