TradingCalcPortfolio Tearsheet Calculator
RISK/STATS · PORTFOLIO TEARSHEET · ADVANCED
Core risk/return tearsheet from a return series: annualized return/volatility, Sharpe (plain + Lo-corrected), Sortino, max drawdown, Calmar, skew/kurtosis, PSR, win rate.
Comma, space, or newline separated. No thousand separators (write 43250.50, not 43,250.50).
A single call returning the core risk/return summary: annualized return and volatility, Sharpe (plain + Lo-corrected), Sortino, max drawdown, Calmar, the drawdown-ratio cluster (Ulcer/Martin, Pain, Burke, Omega-Sharpe, Upside Potential Ratio), Adjusted Sharpe, skew/kurtosis, PSR, win rate.
The formulas
- Annualized return: compounded total return, converted to a CAGR (not mean × periods)
- Max drawdown: the worst peak-to-trough decline in the compounded wealth curve
- Calmar = annualized return / |max drawdown|
- Sortino = (mean − MAR) / downside deviation × sqrt(periods per year)
The drawdown-ratio cluster
Five more ways to weigh return against drawdown risk, each answering a slightly different question than Calmar's single-worst-drawdown framing:
- Ulcer Index = sqrt(mean(drawdown²)) over every period; Martin ratio = annualized return / Ulcer Index
- Pain Index = mean(|drawdown|) over every period; Pain ratio = annualized return / Pain Index
- Burke ratio = annualized return / sqrt(sum of squared distinct drawdown episodes)
- Omega-Sharpe = (upside − downside partial moments) / downside partial moment
- Upside Potential Ratio = upside partial moment / downside deviation
Plus the Pezier-White Adjusted Sharpe Ratio: a direct skew/kurtosis correction to the Sharpe ratio itself, distinct from PSR's probability-of-exceeding-a-benchmark framing.
Where to go next
This bundles the individual Risk/Stats calculators into one view. For just the tail-risk number, see VaR / CVaR; for just the autocorrelation-corrected Sharpe and PSR on their own, see the Sharpe ratio calculator; for a forward-looking volatility estimate instead of this tearsheet's trailing annualized figure, see the GARCH volatility calculator; if this Sharpe came from the best of several strategy variants you tried, correct it for selection bias with the Deflated Sharpe Ratio calculator; for a tail-risk estimate that doesn't assume a normal distribution, see the EVT tail risk calculator.
Use via API or MCP
This calculation is available as a deterministic API call for bots and AI agents.
EMBED ON YOUR SITE
<!-- TradingCalc widget: please keep the link below exactly as given (address and words) --> <div class="tradingcalc-widget" data-widget="portfolio-tearsheet-calculator"><a href="https://tradingcalc.io/portfolio-tearsheet-calculator?utm_source=embed&utm_medium=backlink&utm_campaign=portfolio-tearsheet-calculator">Portfolio Tearsheet Calculator by TradingCalc.io</a></div> <script async src="https://tradingcalc.io/embed.js"></script>
Free, no signup. Keep the text link in the code exactly as given, with its address and its words: it is the attribution and it points visitors to the full calculator. Change colors, size and start values or read the installation guide and FAQ.
What assumptions and edge cases does this calculator use?
Returns are decimals per period (0.02 is 2%), not prices. It needs at least 3 returns, periods per year from 1 to 100,000,000 (default 365), and a minimum acceptable return per period for Sortino (default 0). Some ratios are undefined for some series, for example Calmar when wealth never fell and Sortino when no period fell below the minimum; the call then returns an error instead of a number. Not covered: a benchmark series (alpha, beta, tracking error), fees, taxes and leverage.
What is a portfolio tearsheet?
A standard bundle of risk and return statistics computed from a single return series, giving a full picture in one view rather than checking each metric separately. This tearsheet covers annualized return and volatility, Sharpe (plain and Lo-corrected), Sortino, max drawdown, Calmar ratio, skewness, kurtosis, the Probabilistic Sharpe Ratio, win rate, and best/worst single-period return.
How is annualized return computed?
By compounding: the total return over the whole series (product of (1+r) for each period, minus 1) is converted to a compound annual growth rate (CAGR), not a simple mean-times-periods-per-year calculation. Compounding matters even at small daily-return magnitudes once scaled to a full year.
What is the Sortino ratio, and how does it differ from Sharpe?
Sortino only penalizes downside volatility (returns below your minimum acceptable return), not volatility in general: a strategy with big upside swings and small downside swings looks better under Sortino than under Sharpe, which treats both directions of volatility as equally "risky."
What is the Calmar ratio?
Annualized return divided by the absolute value of the maximum drawdown. It answers "how much return am I getting per unit of the worst peak-to-trough loss I actually experienced," a different risk lens than volatility-based ratios like Sharpe or Sortino.
Why are the individual metrics also available as their own separate calculators?
This tearsheet is a convenience bundle for when you want the full picture in one call. The Sharpe/Lo-correction/PSR math, the VaR/CVaR math, and the Hurst exponent are also each their own dedicated calculator if you only need one specific number.
What is the difference between Ulcer Index, Pain Index, and Burke ratio?
Ulcer and Pain both weigh the drawdown at every single period (not just the worst one), so a long, shallow underwater stretch counts, not just a brief deep crash: Ulcer squares each period's drawdown (so depth matters more), Pain uses the plain absolute value (so duration matters proportionally more). Burke instead looks at each distinct drawdown episode's own peak-to-trough return, one number per episode, not per period.
What is the Pezier-White Adjusted Sharpe Ratio?
A closed-form correction to the plain Sharpe ratio for the return series' own skewness and kurtosis, penalizing negative skew and fat tails directly on the Sharpe number itself, rather than the Probabilistic Sharpe Ratio's separate "probability the true Sharpe exceeds a benchmark" framing.