Performance Leaderboard
Risk-adjusted performance rankings using Sharpe and Sortino ratios across different timeframes.
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| # | Ticker | Name | Type | Sharpe | Sortino | Ann. Return | Volatility | Max DD |
|---|---|---|---|---|---|---|---|---|
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Methodology
- Sharpe Ratio: (Return - Risk-Free Rate) / Standard Deviation. Measures excess return per unit of total risk.
- Sortino Ratio: (Return - Risk-Free Rate) / Downside Deviation. Like Sharpe but only penalizes downside volatility.
- Risk-Free Rate: 5% annual rate used for calculations.
- Selection Criteria: Assets with >$5M daily trading volume, >1 year history, price >$1.