Tools · Risk ratios
Eleven statistics from one column of numbers.
Paste a series of monthly returns and get cumulative and annualised return, volatility, Sharpe, Sortino, Calmar, maximum drawdown and the rest, using the same definitions this website uses for its own record. Nothing you paste leaves your browser.
Calculator
This page is showing the example series. The statistics and chart below are calculated from the 36 synthetic monthly returns printed under the method section. Enable JavaScript to paste your own series; the definitions and the worked example on this page do not need it.
Accepts 1.25, 1.25% or 0.0125, and ignores a leading date column such as 2025-03, 1.25. The whole series is read as per cent if any value carries a % sign or exceeds 1, and as decimal fractions otherwise. At least two months are needed.
Used for the Sharpe and Sortino ratios only. Stated with the result, as it must be.
- Months
- 36
- in the series
- Cumulative return
- +24.5%
- compounded
- Maximum drawdown
- −12.8%
- month end to month end
Month 0 is the starting value of 100. The line is the compounded series, not a projection.
| Statistic | Example series |
|---|---|
| Months | 36 |
| Cumulative return | +24.5% |
| Annualised return | +7.6% |
| Volatility (annualised) | 15.5% |
| Sharpe ratio | 0.55 |
| Sortino ratio | 0.95 |
| Calmar ratio | 0.59 |
| Maximum drawdown | −12.8% |
| Best month | +10.8% |
| Worst month | −9.5% |
| Positive months | 20 of 36 |
Method
How each statistic is defined.
These are the definitions used on the Performance page of this website. A ratio is only comparable against another calculated the same way, so they are written out rather than assumed.
- Cumulative return compounds the monthly returns. Annualised return is the compound rate that reaches the same result, and is shown only once the series reaches 12 months.
- Volatility is the sample standard deviation of the monthly returns multiplied by √12. It assumes the months are independent, which real returns are not.
- Sharpe ratio is the annualised mean monthly return less the risk-free rate, divided by annualised volatility. The risk-free rate is the one you enter, and is always stated with the result.
- Sortino ratio replaces volatility with downside deviation: the root mean square of the monthly shortfalls below the risk-free rate, annualised by √12. Months above the rate contribute zero, not a positive number.
- Calmar ratio is the annualised return divided by the absolute maximum drawdown. It needs at least 12 months and a drawdown greater than zero.
- Maximum drawdown is the largest fall from a previous month-end peak to a later month end. Measured this way it understates the fall experienced inside a month.
This calculator is provided for general information only and is directed to wholesale and professional investors. It is not personal advice: it does not take into account the objectives, financial situation or needs of any person, and it is not an offer, invitation or recommendation to acquire any financial product. Statistics calculated from a short series are unreliable, and none of them describes what a series does next. Investing involves risk, including the possible loss of capital. Past performance is not a reliable indicator of future performance.
Definitions
Terms on this page.
Each links to the glossary entry, which states the convention the term assumes as well as what it means.
- Sharpe ratio — excess return per unit of volatility.
- Sortino ratio — the same with only downside variation in the denominator.
- Calmar ratio — annualised return over the worst drawdown.
- Maximum drawdown — the largest peak-to-trough fall.
- Volatility — the dispersion of returns, annualised.
- Risk-free rate — the baseline every excess-return ratio depends on.
Questions
Common questions.
Is anything I paste sent to KyperX Capital?
No. The series is parsed and the statistics are calculated in your browser. Nothing is transmitted, recorded or stored, and this website receives none of it.
How many months do I need?
Two for volatility, twelve before an annualised return or a Calmar ratio means anything. Even then, a ratio from three years of monthly data carries a wide margin of error: short series flatter and mislead in both directions.
Why is my Sharpe ratio different from someone else's?
Usually the risk-free rate, the return frequency, or whether volatility was annualised by √12. All three change the number without changing the underlying series, which is why the definitions above are written out and the rate is stated with every result.
What is the difference between Sharpe and Sortino?
Sharpe divides by total volatility, so a month of unusually strong gains counts as risk. Sortino divides only by shortfalls below the risk-free rate, so upside variation is not penalised. Sortino is normally the higher of the two.