Sharpe ratio calculator
Sharpe and Sortino from your monthly returns.
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Information ratio calculator
Are you really beating the market you trade? Your returns against a benchmark's: the lead, how steady it is, beta, alpha and capture.
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The returns
Against the benchmark
Information ratio of 0.66: a good, steady lead. Your lead over the benchmark is +1.90% a year, with a tracking error of 2.87%.
- Beta and alpha
- Beta 1.23, alpha +0.81% a year: you move with more than the benchmark's swing; correlation 0.93.
- Capture
- 117% of the benchmark's up months (7); 98% of the benchmark's down months (5). Under 100% on the way down is what you want.
- Head to head
- You beat it in 7 of 12 months. In total you made +6.67% against +4.77%.
- Read it with care
- Compare with the market you actually trade, over the same periods. 12 months is a short record: an information ratio needs years to mean much. Past leads do not promise future ones.
Your returns against the benchmark, a year where it applies. The information ratio is marked.
| Measure | Value |
|---|---|
| Information ratio | 0.66 |
| Active return a year | +1.90% |
| Tracking error a year | 2.87% |
| Beta | 1.23 |
| Alpha a year | +0.81% |
| Up capture | 117% |
| Down capture | 98% |
Education only, not investment advice. The answer comes from the numbers you typed in, not from your account or the market. Simulated results are hypothetical and have limits: real trading has slippage, gaps, changing results and emotions. Trading leveraged products can lose money quickly, including all of it. Risk warning
Educational only, not financial advice; trading involves risk.
A lead, and how steady it is
Making 12% in a year means little if simply holding the market made 15%. The information ratio measures the lead over a benchmark, the active return, against how much your returns wander from it, the tracking error. Fund managers are judged on it: above 0.5 is good, above 1 is rare. Beta and alpha split your return into the part that came from the market's swing and the part that did not; up and down capture show how much of the market's good and bad periods you took.
Judge your returns on their own with the Sharpe ratio calculator and the Omega ratio calculator, and measure how two markets move together with the correlation calculator.
Not advice. Arithmetic on the returns you type; past returns do not promise future ones.
Next tools
Omega ratio calculator
Gains against shortfalls.
Correlation calculator
How closely two markets move together.
Pricing
Three ways in. Pick yours.
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Baroq never holds your money and never trades for you. Educational only, not financial advice; trading involves risk.