Returns risk analyzer
Paste a series of periodic returns and get annualized return, volatility, Sharpe, Sortino, Calmar and max drawdown. Runs in your browser, no upload.
About this tool
The returns risk analyzer turns a plain series of periodic returns into the performance and risk figures you'd otherwise assemble in a spreadsheet:
- Return: per-period mean, total (cumulative) return, and the geometric, compound annualized return (CAGR-style) for the chosen frequency.
- Risk: annualized volatility (the sample standard deviation scaled by √periods) and downside deviation below your target.
- Risk-adjusted ratios: Sharpe (excess return over the risk-free rate ÷ volatility), Sortino (excess return over the target ÷ downside deviation), and Calmar (annualized return ÷ max drawdown).
- Drawdown & shape: max drawdown of the compounded equity curve, best and worst single period, and the share of positive periods.
Paste one return per line, or separate them with commas or spaces. Each value can
be a decimal (0.012) or a percent with a % sign (1.2%) — mix them
freely. Pick the frequency that matches your data so annualization uses the
right factor: daily = 252, weekly = 52, biweekly = 26, monthly = 12, quarterly =
4, annual = 1.
Worked example
For 12 monthly returns 0.021, -0.008, 0.015, 0.033, -0.012, 0.004, 0.019, -0.006, 0.011, 0.027, -0.021, 0.014 with frequency = monthly (12) and a 2%
risk-free rate, the tool reports a cumulative return of about 9.98%, an
annualized return near 9.98%, annualized volatility around 6.06%, and a
Sharpe ratio of roughly 1.28 — with the exact figures shown in the result box.
Conventions
Volatility uses the sample standard deviation (÷ n−1); downside deviation divides by n (population) over all observations. Annualized return is geometric (compound). Sharpe uses the risk-free rate; Sortino uses the target return as the minimum acceptable return (MAR). Both ratios are annualized by √periods. These are stated so your numbers are reproducible — other calculators sometimes leave them unspecified.
You need at least 2 returns. This is an educational calculator, not financial advice.
Privacy
Everything runs in your browser via WebAssembly — your returns are never uploaded. Also available from the gizza CLI and in chat (which return the values as structured JSON).
FAQ
Should I enter returns as 0.012 or 1.2%?
Either — the tool accepts both, per value. A bare number is read as a decimal
(0.012 = 1.2%), and a number with a % sign is divided by 100 (1.2% =
0.012). You can mix the two in one series. What you must not do is enter 1.2
meaning 1.2%: without the % sign that is read as +120%.
Which annualization factor should I choose?
Match it to how often your returns are sampled: daily trading returns use 252, weekly 52, biweekly 26, monthly 12, quarterly 4, and already-annual figures use 1. The factor scales the mean return and (via its square root) the volatility, so the wrong choice throws off every annualized number.
Why are my Sharpe and Sortino different from another calculator?
Small differences usually come from undocumented conventions. Here, volatility uses the sample standard deviation (÷ n−1), downside deviation divides by n over all periods, the annualized return is geometric, and both ratios are annualized by √periods. A tool that uses population standard deviation, a different downside divisor, or an arithmetic annualized return will land on slightly different values — none is "wrong", they just answer with different definitions.
What do "undefined" Sharpe or Sortino mean?
The Sharpe ratio is undefined when volatility is zero (every return is identical, so there's nothing to divide by). The Sortino ratio is undefined when no return falls below your target, so there's no downside deviation. The tool says undefined with the reason rather than printing infinity.
How many returns do I need, and how reliable is the result?
You need at least 2 to have any dispersion to measure. As with any statistic, short series give noisy, unreliable risk figures — a handful of points can't characterize a distribution, so treat results from small samples with caution.
Developer & Automation Access
Run it from the terminal
Same engine as this page, headless — via the gizza CLI:
gizza tool returns-risk-analyzer "0.012
-0.004
0.021
0.008
-0.015"New to the CLI? Get gizza →
Open it by URL
Pre-fill and auto-run this tool with query parameters — the names match the API/CLI:
https://gizza.ai/tools/returns-risk-analyzer/?returns=0.012%0A-0.004%0A0.021%0A0.008%0A-0.015&periods_per_year=252&risk_free_rate=0&target_return=0&has_header=trueMachine-readable descriptor: tool.json — title + parameters JSON Schema for agents.