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, 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)
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.
Use via API or MCP
This calculation is available as a deterministic API call for bots and AI agents.
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.