Risk-Adjusted Return Calculator
Paste periodic returns for two investments and compare how much return each delivered for the risk taken.
Risk-Adjusted Return Calculator
Separate values with commas, spaces or new lines. Enter percentages, e.g. 2.5 for +2.5%. At least 3 values.
A · Sharpe-style
—
B · Sharpe-style
—
A · Sortino
—
B · Sortino
—
Growth of 1 unit invested
Side-by-Side Comparison
| Metric | Investment A | Investment B |
|---|
The more favourable value in each row is highlighted. Higher is better for returns and ratios; lower is better for volatility, downside deviation and drawdown.
Assumptions & method
- Input: a list of periodic returns in percent (for example 2.5 for +2.5%), separated by commas, spaces, semicolons or new lines. At least 3 values are needed; investment B is optional.
- Mean = arithmetic average per period. Standard deviation uses the sample formula (n − 1). Return/risk = mean ÷ standard deviation (per period).
- Sharpe-style = (mean − risk-free per period) ÷ standard deviation, multiplied by √(periods per year). The risk-free rate you enter is annual and is divided by periods per year.
- Downside deviation = √(average of min(0, return − target)² over all periods), where the target (minimum acceptable return) is the per-period risk-free rate. Sortino = (mean − target) ÷ downside deviation × √(periods per year).
- Maximum drawdown is measured on the compounded growth of 1 using your returns in order. Calmar-like = annualised (compounded) return ÷ maximum drawdown.
- Short samples, skewed returns and ratios that depend on the period chosen make these figures unstable. Past returns do not predict future results.
Results are estimates based on the figures you enter. They are not guarantees and not financial advice.
What does risk-adjusted return mean?
Two investments can earn the same average return while one gets there smoothly and the other swings wildly. Risk-adjusted measures divide return by some measure of risk so that they can be compared on a fairer basis. Standard deviation treats upside and downside swings alike, which is what the Sharpe-style ratio uses. Downside deviation counts only the periods that fell short of your target, which is the idea behind the Sortino ratio. Maximum drawdown looks at the single worst peak-to-trough fall, and dividing annual return by it gives a Calmar-like figure. Each metric answers a different question, so it helps to read them together instead of picking one. All of them depend heavily on how many periods you include.