Risk-Adjusted Performance Calculator
Use the Risk-Adjusted Performance Calculator with your own values for Calculation mode, Portfolio return, Risk-free rate, Portfolio standard deviation, Portfolio beta, and Market return. It reports Sharpe ratio, Treynor ratio, and Jensen alpha, shows the formula and worked example, and does not fetch live market or account data.
How to use this calculator
Enter Calculation mode, Portfolio return, Risk-free rate, Portfolio standard deviation, Portfolio beta, and Market return.
Review the model boundary before calculating: Return, risk-free rate, volatility, beta, and market return must cover the same period and frequency.
Read Sharpe ratio, Treynor ratio, and Jensen alpha, then compare the result with the cited source and governing product terms.
Formula
Formula used: Sharpe = (Rₚ − Rf) / σₚ; Treynor = (Rₚ − Rf) / βₚ; Jensen α = Rₚ − [Rf + βₚ(Rm − Rf)]. Percentages are converted to decimals before calculation.
Worked example
Example: with Portfolio return = 12%, Risk-free rate = 3%, and Portfolio standard deviation = 15%, the calculated Sharpe ratio is 0.60.
Assumptions and limits
- Return, risk-free rate, volatility, beta, and market return must cover the same period and frequency.
- Historical risk-adjusted performance does not predict future returns.
- This educational estimate is not investment, tax, accounting, or legal advice.
Sources
- William F. Sharpe: The Sharpe RatioThe Sharpe ratio definition and consistent return and risk measurement. Reviewed 2026-08-24.
- The Journal of Finance: The Performance of Mutual Funds in the Period 1945–1964Jensen alpha and benchmark-adjusted performance measurement. Reviewed 2026-08-24.
- OpenStax, Rice University: Principles of Finance — Applications in Performance MeasurementOfficial formula or method source used by this calculator. Reviewed 2026-08-24.
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Verification
How this calculator is checked
Trust comes from reproducible evidence, not model confidence. You can inspect the formula, assumptions, worked example, and cited sources on this page.
- Versioned calculationFormula logic is kept separate from the interface and covered by automated registry and behavior checks.
- Cited evidenceSources linked for independent checking: 3.
- Transparent AI useAI may assist drafting or adversarial review. Agreement between models is not proof, and no human expert review is claimed unless a named reviewer is shown.
Risk-sensitive calculator. No human domain-expert review is recorded for this page. Treat the result as an educational estimate, not as medical, financial, tax, legal, electrical, engineering, or safety approval.
Frequently asked questions
How does the Risk-Adjusted Performance Calculator work?
Formula used: Sharpe = (Rₚ − Rf) / σₚ; Treynor = (Rₚ − Rf) / βₚ; Jensen α = Rₚ − [Rf + βₚ(Rm − Rf)]. Percentages are converted to decimals before calculation.
What should I enter in the Risk-Adjusted Performance Calculator?
Enter Calculation mode, Portfolio return, Risk-free rate, Portfolio standard deviation, Portfolio beta, and Market return using one consistent currency and time basis.
What should I verify before using the Risk-Adjusted Performance Calculator result?
Verify these limits: Return, risk-free rate, volatility, beta, and market return must cover the same period and frequency. Historical risk-adjusted performance does not predict future returns. This educational estimate is not investment, tax, accounting, or legal advice.
Last updated 2026-08-25 · sharpe-treynor-jensen-v1 · content-2026-08-24 · Published by YunFanLabs