Beta
Portfolio beta calculator against the benchmark
Beta and information ratio of one series against another. Ethereum against Bitcoin is the sample. Swap in your book and the benchmark you claim to beat.
ETH vs BTC
Beta 1.11
Information ratio -0.00. This series mostly is the benchmark.
- Beta
- 1.11
- Information ratio
- -0.00
- Portfolio
- ETH
- Benchmark
- BTC
Versus BTC
Active return over tracking error
89 returns
Same row count
- Each row is daily, 365 periods a year. Annualized figures use 365 periods.
- 90 closes in the series. Computed by Thrive's portfolio engine. Rounded to the digit shown.
Beta is the part you did not choose
Beta is how many units of the benchmark you hold, whether you meant to or not. An Ethereum book with a beta of 1.2 to Bitcoin falls about 12% when Bitcoin falls 10%, inside this sample.
The information ratio is active return divided by tracking error. It asks whether the gap versus the benchmark was large relative to how noisy that gap was. A high beta with a dead information ratio means you owned the benchmark with extra steps.
How this page runs it
Both series become arithmetic returns of equal length. Thrive's portfolio engine returns beta and the information ratio from the portfolio returns and the benchmark returns. The risk-free rate is applied to beta when you set one.
Align the dates yourself. The sample uses live Ethereum and Bitcoin closes on the shared crypto calendar.
How to run it
- Paste the portfolio closes and the benchmark closes, same length.
- Read beta as the hedge ratio you already have on.
- Read the information ratio as the score of the gap.
- If beta is near 1 and the information ratio is near 0, you are the benchmark.
FAQ
People also ask
The slope of portfolio returns on benchmark returns. It is the systematic piece in a single-factor model. This page estimates it from the series you paste.
Mean active return versus the benchmark, divided by the standard deviation of that active return. It is the Sharpe ratio of the bet you made against the benchmark.
The one you would actually hold if you did nothing. For an alt book that is often Bitcoin. For a US equity book it is SPY. A flattering benchmark makes the information ratio a vanity metric.
Yes. The asset tended to rise when the benchmark fell, in this window. Check the length before you call it a hedge.
Related
Correlation matrix calculator
Empirical correlation from your closes. The heatmap is the number in each cell, not a color standing in for one.
Sharpe ratio calculator
Paste a close series. The engine returns the Sharpe ratio, the 95% band, and the probabilistic Sharpe: the chance the true ratio beats zero.
Diversification ratio calculator
The diversification ratio of your weights, next to the most diversified portfolio. A ratio near 1 means the names are one bet. Higher means the mix is doing work.
Trading journal
The ratio on a pasted series is a lab result. The journal is the book you actually traded.
Bitcoin and Ethereum correlation
The pair behind the sample beta. The canonical URL orders Bitcoin first.
Ethereum volatility
The live 90-close vol print for the ETH sample.
Beta to a benchmark you did not pick is still beta.
Thrive lines the journal up against the market you were actually in, so the active bet is visible.