Portfolio Performance Analytics
Track and analyze your investment portfolio performance with detailed metrics, benchmark comparisons, and risk-adjusted returns.
1. Start with a dataset
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.
Alpha
-67.73%
Risk-adjusted value added vs S&P 500. -43.64% vs benchmark
Beta
0.36
Market sensitivity relative to S&P 500. Values above 1.0 amplify swings; below 1.0 dampen them.
Sharpe Ratio
-0.85
Excess return per unit of total volatility using a 4.2% risk-free rate.
Sortino Ratio
-0.84
Downside-only risk efficiency vs 3.0% minimum acceptable return.
Max Drawdown
-95.47%
Largest peak-to-trough decline with recovery time Not yet recovered.
Annual Volatility
76.58%
Standard deviation of returns annualized (12 periods per year).
Downside Deviation
76.88%
Annualized downside-only volatility—focus on harmful returns below your MAR.
Cumulative Performance
Track total return growth vs. benchmark from a 0% starting point.
Risk & Return Diagnostics
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. |
What Your Numbers Say
Translate quantitative metrics into plain-English takeaways before you rebalance or switch strategies.
- Growth Portfolio generated -67.73% of true alpha after accounting for S&P 500 risk exposure.
- Growth Portfolio runs -64% less market risk than S&P 500 (beta 0.36).
- Sharpe ratio -0.85 suggests the portfolio is not being compensated enough for risk.
- Sortino ratio -0.84 indicates drawdowns below your target are eroding performance.
- Worst loss: 95.5% from Month 7 to Month 20. Recovery time Not yet recovered.
- Correlation to S&P 500 is 0.41—moderately correlated.
Risk-Control Checklist
Keep your portfolio on track with these guardrails:
Stay disciplined when:
- Max drawdown exceeds -95.47% — revisit position sizing.
- Sharpe ratio falls below 1.0 for multiple quarters — risk isn't being paid.
- Beta drifts above 1.2 — you're taking on more market risk than intended.
Lean into strengths when:
- Positive alpha persists across at least 12 periods.
- Sortino ratio stays above 1.5 — downside volatility is well-managed.
- Tracking error matches your mandate (e.g., < 6% for core equity, < 3% for bonds).