4,000+ Risk-Adjusted Statistics — Calculated Automatically

How to Analyse Hedge Fund Risk-Adjusted Returns

Analysing hedge fund risk-adjusted returns correctly requires the right metrics, sufficient data history and a reliable calculation engine. AlternativeSoft calculates 4,000+ risk-adjusted statistics across 500,000+ funds — instantly, consistently and in peer group context.

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Risk metrics covered:Sharpe RatioSortino RatioOmega RatioCalmar RatioInformation RatioMax Drawdown
Hedgeweek Best Risk Management Software
4 Consecutive Years — 2020 · 2021 · 2022 · 2023
150+
Institutional clients worldwide
$1.5tn+
AuM managed by our clients
500k+
Funds in our database
Trusted by
Aberdeen Asset Management•AllianceBernstein•BNP Paribas•Bessemer Trust•Raiffeisen Capital Management•Unigestion•Lyxor Asset Management•Kedge Capital•Lumyna Investments•Progressive Capital•Aberdeen Asset Management•AllianceBernstein•BNP Paribas•Bessemer Trust•Raiffeisen Capital Management•Unigestion•
The Problem & The Solution

Risk-Adjusted Return Analysis — Done Properly

Common Pitfalls in Hedge Fund Risk Analysis

Risk-adjusted analysis is only valuable when done consistently with correct methodology across a relevant comparison universe.

  • Calculating Sharpe, Sortino and Omega ratios manually in Excel is slow and error-prone across large fund universes
  • Different providers use different calculation methodologies, making cross-provider comparisons unreliable
  • Without peer context, a Sharpe of 0.8 is uninterpretable — good or bad depends entirely on the strategy
  • Missing data and short track records create misleading statistics if not flagged with appropriate confidence indicators
  • Multi-factor alpha/beta decomposition requires regression modelling far beyond standard Excel capabilities

How AlternativeSoft Solves Risk-Adjusted Analysis

4,000+ risk statistics calculated consistently across 500,000+ funds — with peer benchmarking and full methodology transparency.

  • Sharpe, Sortino, Omega, Calmar, Sterling, Treynor, Information Ratio and 4,000+ more with consistent methodology across all funds
  • All statistics presented in peer group context — quartile ranking, distribution visualisation and percentile position
  • Multi-factor regression for alpha/beta decomposition and factor exposure analysis built in
  • Statistical significance testing — t-statistics and p-values for all regression-based outputs
  • Data quality indicators alongside each calculation showing confidence level given available data history
Risk-Adjusted Analytics

Every Risk Metric Your Investment Process Needs

Comprehensive risk-adjusted analysis across hedge funds, mutual funds and alternatives.

Comprehensive Risk Ratios

Sharpe, Sortino, Omega, Calmar, Sterling, Treynor, Information Ratio, Modified Sharpe and Jensen Alpha — calculated automatically with institutional-grade methodology.

Return Distribution Analysis

Skewness, kurtosis, VaR, CVaR and tail risk statistics. Understand the full shape of a fund's return distribution, not just its average performance.

Drawdown Analytics

Maximum drawdown, duration, recovery time, underwater period and Ulcer Index. Identify how managers behave specifically in adverse market conditions.

Factor Attribution

Multi-factor regression models decompose returns into alpha and systematic factor exposures. Measure genuine manager skill separate from market beta.

Multi-Period Analysis

Calculate statistics across 1, 2, 3, 5 and 7-year periods. Identify managers with consistent risk-adjusted outperformance over multiple market cycles.

Custom Benchmarks

Define custom risk-free rates and benchmark indices per fund. Consistent risk-adjusted comparison across different strategy benchmarks.

150+
Institutional Clients
Worldwide
$1.5tn+
AuM Managed by
Our Clients
500k+
Funds in Our
Database
20+
Years of Excellence
Since 2005
How It Works

How to Analyse Risk-Adjusted Returns with AlternativeSoft

01

Select Your Fund Universe

Choose any funds from the 500,000+ database or import your own. The risk analysis engine runs automatically against the full return history.

02

Review Statistics in Peer Context

All 4,000+ statistics are presented alongside peer group quartile rankings. A Sharpe of 0.8 is contextualised against strategy-relevant peers.

03

Compare and Report

Compare statistics side by side across multiple funds and generate automated comparison reports for investment committees.

Who This Is For

Who This Analytical Capability Serves

Fund Analysts

Run comprehensive risk-adjusted analysis across your full universe automatically. Move from manual calculation to systematic, reproducible screening.

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CIOs & Portfolio Managers

Clear, consistent view of risk-adjusted returns across your hedge fund portfolio. Identify which managers generate genuine alpha versus cheap beta exposure.

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Pension Funds & Endowments

Present peer-contextualised risk-adjusted analysis to investment committees with confidence in the methodology and full audit trail.

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Client Testimonials

Trusted by 150+ Leading Institutions

“

AlternativeSoft streamlines many useful performance-based analytics including portfolio optimisation, peer evaluation, and relative analyses. An intuitive platform that is additive to our processes.

Aberdeen Asset Management
Head of Risk Management
★★★★★
“

A practical and user-friendly tool used as part of our portfolio construction and risk management process. Their extensive support and responsiveness provides real added value.

AllianceBernstein
Co-head, Risk Management & Portfolio Construction
★★★★★
“

From statistical analysis on a single hedge fund to portfolio construction, risk analysis and stress testing — one of the most effective and intuitive tools I have handled.

BNP Paribas
Hedge Fund Solutions
★★★★★
Best Risk Management Software
Hedgeweek — 4 Consecutive Years
Best Portfolio Analytics Platform
HFM European Awards
10+ Industry Awards
Recognised since 2005
ISO & GDPR Compliant
Enterprise-grade Security
FAQ

Frequently Asked Questions

The most widely used metrics are Sharpe ratio (return per unit of total risk), Sortino ratio (return per unit of downside risk), Omega ratio (probability-weighted ratio of gains to losses across the full distribution), Calmar ratio (return relative to maximum drawdown) and Information ratio (excess return per unit of tracking error).
Sharpe measures return per unit of total volatility. Sortino only penalises for downside volatility (standard deviation of negative returns), which better reflects the risk concerns of investors focused on loss avoidance. For hedge funds with positively skewed returns, Sortino is often more informative.
The Omega ratio is the probability-weighted ratio of returns above a threshold to returns below it. Unlike Sharpe and Sortino, it captures the full return distribution including higher moments — making it particularly relevant for hedge funds with non-normal distributions such as option strategies or event-driven funds.
Always benchmark managers within strategy-specific peer groups and compare over full market cycles (minimum 3–5 years). AlternativeSoft supports custom benchmarks per fund and calculates statistics across multiple time periods for cross-strategy comparison.
A minimum of 3 years of monthly returns is required for statistical significance, with 5+ years preferred. AlternativeSoft provides data quality indicators and statistical confidence flags alongside each metric.
Request a Demo

See AlternativeSoft
in Action

Join 150+ institutional investors who rely on AlternativeSoft to select and monitor funds. Book a personalised demo with our team today.

  • Live walkthrough of the full platform
  • Tailored to your asset class — hedge funds, mutual funds or private markets
  • Q&A with our investment analytics specialists
  • Free trial access available following the demo
  • Dedicated onboarding and implementation support
Hedgeweek Best Risk Management Software — voted by clients 4 years running
Data integrations include:
BloombergeVestmentMorningstarPreqinPitchbookHFR

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