Portfolio comparison template

Two or more portfolios are set against each other on risk adjusted terms here: Sharpe ratio, Sortino ratio, value at risk, portfolio beta and portfolio volatility, with one year return supplying the plain performance number.

Because Sortino penalizes only downside deviation while Sharpe penalizes all of it, seeing both next to the same beta and volatility figures says more about a portfolio than the return line does on its own. Enter holdings and weights, and the MarketXLS portfolio formulas compute each statistic from price history without a separate risk model.