Risk Metrics Calculators

Risk Metrics

Calculate the standard deviation of returns from prices or returns and annualise it for any data frequency.

Monthly returns → σ per month & annualised

Risk Metrics

Measure how sensitive an asset or portfolio is to market moves from two return series.

Asset vs index returns → β, correlation, R²

Risk Metrics

Compare actual return with the CAPM-expected return for the beta taken to isolate skill.

15% return · β 1.2 · market 10% · Rf 2% → α 3.4%

Risk Metrics

Find the largest peak-to-trough decline in an equity curve, its duration and the gain needed to recover.

$12,000 → $9,000 → −25% (needs +33.3%)

Risk Metrics

Estimate the loss threshold you should only exceed on a small share of days — parametric or historical.

$100k · σ 1.2% · 95% → VaR $1,924

Risk Metrics

Calculate the average loss on the days that breach VaR — the tail risk VaR doesn't show.

$100k · σ 1.2% · 95% → ES $2,425

What each risk metrics calculator measures

Volatility Calculator — Calculate the standard deviation of returns from prices or returns and annualise it for any data frequency.
Beta Calculator — Measure how sensitive an asset or portfolio is to market moves from two return series.
Jensen's Alpha Calculator — Compare actual return with the CAPM-expected return for the beta taken to isolate skill.
Maximum Drawdown Calculator — Find the largest peak-to-trough decline in an equity curve, its duration and the gain needed to recover.
Value at Risk (VaR) Calculator — Estimate the loss threshold you should only exceed on a small share of days — parametric or historical.
Expected Shortfall (CVaR) Calculator — Calculate the average loss on the days that breach VaR — the tail risk VaR doesn't show.

For the theory behind these formulas, see Risk metrics on Trading Metrics .