Statistiques Risque & Rendement

Calculez E(r), σ², σ, Sharpe, asymétrie et kurtosis à partir de scénarios probabilistes ou de données de rendement historiques. Conçu pour la résolution rapide de problèmes sans configuration.

Statistics Lab

Probabilistic scenarios + historical return series — every step shown

Enter scenarios with probabilities (must sum to 1.00) and returns. The Lab computes E(r), σ², and σ in real time, with every step shown.

Scenario	Probability (p)	p × r	(r − E(r))²	p × (r − E(r))²
		0.0900	0.03610	0.01083
		0.0500	0.00010	0.00005
		-0.0300	0.06760	0.01352
Total	1.00	E(r) = 0.1100		σ² = 0.02440

E(r)

11.00%

σ²

0.02440

15.62%

Sharpe

0.448

r_f = 4.0%

Step 1: E(r) = Σ p × r

Step 2: σ² = Σ p × (r − E(r))²

Step 3: σ = √σ²

Step 4: Sharpe = (E(r) − r_f) / σ

Want the full lesson? Visit Week 4 of the Investment Management course for the formulas, derivations, and a 5-question quiz with worked solutions.

Every investment can be summarized by two headline numbers: how much it returns on average and how much it bounces around. The first is expected return, the second is volatility. From those two, plus higher moments like skew and kurtosis, you can compute Sharpe and decide whether the bet is worth it.

Chaque Lab est ancré dans les mathématiques standard des manuels (Bodie / Kane / Marcus, Fabozzi, Tandelilin). Read the full methodology in the How It Works panel above.