Input Parameters

Select stocks to compare

Returns can be measured daily, weekly or monthly

Years of returns - from 1 to 5

Benchmark index for market returns (eg. SPX, SPY)

Default risk-free rate - 3 month T-Bill yield.


Ratio/Indicator
Mean Returns
The mean/average returns of the security for the selected period in years.
We are using an annualized value for the mean returns.
STD Deviation
Quantifies the amount of variation of the security returns.
A low value indicates that the returns are close to the mean returns, while a high value indicates the security returns are spread out.
Excess Returns
The mean/average excess returns (returns above the risk-free interest rate of the selected benchmark) of the security for the selected period in years.
We are using an annualized value of the excess returns.
R Squared
The coefficient of determination (the square of the coefficient of correlation r) indicates how well the security returns fit/correlate to the benchmark returns.
A value of 1 indicates a perfect correlation, while a value of 0 indicates no correlation at all.
Intercept
The expected mean returns of the benchmark, when the returns of the security are 0.
Slope
The rate of change in the benchmark returns as the security returns change.
Volatility
Measures the dispersion of the returns for the security.
For the calculation, we are using the variance of the returns.
A higher volatility indicates a riskier security.
Momentum
The rate of acceleration of the security's rate of returns.
A higher momentum indicates a tendency of the security's returns to keep moving in the same direction.
Beta
A measure of the volatility, or systematic risk, of the security in comparison to the bechmark index.
A beta of less than 1 means that the security will be less volatile than the benchmark index.
A beta greater than 1 indicates that the security's price will be more volatile than the benchmark index.
Alpha
A measure of the performance on a risk-adjusted basis, represents the excess returns of the security relative to the return of the benchmark index.
We are using an annualized value of the alpha ratio.
Sharpe Ratio
A measure for calculating risk-adjusted return.
Calculated as the average return of the security minus the risk-free return divided by the standard deviation of the excess returns.
Treynor Ratio
Also known as reward-to-volatility ratio is a measure of the returns earned in excess of that which could have been earned on an investment that has no diversifiable risk.
Modigliani Ratio
Measures the returns of the security, adjusted for the risk of the return relative to that of the benchmark.
The Modigliani ratio is derived from the Sharpe ratio, but is expressed as a percent of the returns.
Information Ratio
A ratio of the security excess returns above the returns of the benchmark to the volatility of those returns.
Conditional Sharpe
Quantifies the risk that the security will experience extreme losses.
Omega Ratio
A ratio of the probability weighted returns above the threshold level to probability weighted returns below the threshold level.
Sortino Ratio
A ratio of the excess returns (security returns minus the risk-free returns), divided by the downside deviation.
A high Sortino ratio indicates there is a low probability of a large loss.
Kappa Ratio
A ratio of the returns' percent change to a 1% change in the expected price volatility (also called implied volatility).
Gain Loss Ratio
Measures the average gains in a gain period divided by the average losses in a losing period.
Upside Potential Ratio
Measures of the returns of the security relative to the minimal acceptable return. The measurement allows to choose securities which have had relatively good upside performance, per unit of downside risk.
Calmar Ratio
Represents a comparison of the average annual compounded rate of return and the maximum drawdown risk of the security. The lower the Calmar Ratio, the worse the security performed on a risk-adjusted basis over the specified time period.
Sterling Ratio
A measure of the risk-adjusted return of the security, where it measures returns over the average drawdown, versus the more commonly used max drawdown.
Burke Ratio
Similar to the Sterling ratio, the Burke ratio discounts the expected excess return of the security by the square root of the average of the worst expected maximum drawdowns squared for that portfolio.

Credits: Stuart Reid

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