Portfolio Risk & Return Comparison
Two-portfolio side-by-side comparison with custom weights against an SPY benchmark — cumulative returns, drawdowns, Sharpe, Sortino, Calmar, VaR, CVaR, beta, alpha, information ratio, correlation, R-squared, rolling beta/Sharpe, correlation matrix, and relative performance.
Visualization preview
Portfolio A vs B · cumulative + drawdown5y · daily · base 100
Portfolio A
- CAGR
- +11.42%
- Sharpe
- 1.342
- Sortino
- 2.018
- Max DD
- −18.74%
- β vs SPX
- 0.873
Portfolio B
- CAGR
- +8.84%
- Sharpe
- 0.918
- Sortino
- 1.412
- Max DD
- −24.12%
- β vs SPX
- 1.084
Source: portfolio-analyticsyoy.streamlit.app · synthetic preview252d rolling · benchmark SPX
Indicative preview · the live dashboard fetches real-time data and exposes interactive controls.
Overview
Two-portfolio side-by-side comparison with custom weights against an SPY benchmark — cumulative returns, drawdowns, Sharpe, Sortino, Calmar, VaR, CVaR, beta, alpha, information ratio, correlation, R-squared, rolling beta/Sharpe, correlation matrix, and relative performance.
What’s inside
- Interactive Streamlit dashboard with real-time controls and parameters.
- Methodology documentation explaining inputs, transforms, and outputs.
- Ranked tables, distribution charts, and rolling-window diagnostics.
- Cross-asset comparisons against benchmarks where relevant.