New
Metric comparison guides
Side-by-side explainers for Sharpe vs Sortino, VaR vs Maximum Drawdown, and Beta vs Correlation.
Sharpe Ratio
The most widely used measure of risk-adjusted return
(Rp − Rf) / σpSortino Ratio
Risk-adjusted return that only penalises downside volatility
(Rp − Rf) / σdValue at Risk (VaR)
The maximum daily loss you should expect 95% of the time
μ − 1.645σ (parametric, 95% confidence)Maximum Drawdown
The largest peak-to-trough decline in your portfolio's history
(Trough Value − Peak Value) / Peak ValuePortfolio Volatility
The statistical spread of your portfolio's daily returns
σ × √252Calmar Ratio
Annual return relative to the worst drawdown you've experienced
CAGR / |Maximum Drawdown|Beta
How much your portfolio moves relative to the market
Cov(Rp, Rm) / Var(Rm)R-Squared
How much of your portfolio's movement is explained by the benchmark
Corr(Rp, Rm)²Alpha
Return generated above and beyond what the market explains
Rp − [Rf + β(Rm − Rf)]See all these metrics for your portfolio.
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