| Ticker | Ann Return | Ann Vol | Sharpe | Sortino | Calmar | Max DD | Visual |
|---|
Ranking Overview
Best Sharpe—
Worst Sharpe—
Best Sortino—
Best Calmar—
Avg Sharpe—
Median Vol—
Efficient Frontier Notes
The scatter plot shows annualized return vs. volatility. Tickers above the capital market line (green dashed) offer excess risk-adjusted returns. The optimal Sharpe portfolio lies at the tangent point.
Top Risk-Adjusted
Interpretation
Sharpe: (Return - Rf) / Vol. >1.0 = good, >2.0 = excellent.
Sortino: Uses downside deviation only — penalizes losses, not upside vol.
Calmar: Ann Return / Max Drawdown — recovery-speed metric.
Sortino: Uses downside deviation only — penalizes losses, not upside vol.
Calmar: Ann Return / Max Drawdown — recovery-speed metric.