Tools

Return risk

You type the annual return, both standard deviations, the risk-free rate, the benchmark return, and the correlation. Sharpe subtracts the risk-free rate. Return minus benchmark is the gap versus the benchmark in this sample. Beta is correlation times the investment’s standard deviation, divided by the benchmark’s. R-squared is the correlation squared.

Classroom arithmetic on the numbers you type. Not a live beta, and not a forecast of the next return.

Return %Standard deviation %Risk-free rate %Benchmark return %Benchmark standard deviation %Correlation

From −1 to 1

Standard deviation (typed)

20.00%

Beta

1.00

R-squared

0.56

Sharpe

0.40

Return minus benchmark

2.00%

Beta is in line with the benchmark. R-squared of 56% is the share of variation lined up with the benchmark. Sharpe is above zero.