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Sharpe Ratio calculator
Advance Sharpe Ratio
Premium risk-adjusted performance analysis for professional portfolios
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Legendary Sharpe Ratio
Risk-Adjusted Efficiency Score
Sortino Ratio
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Annual Volatility
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Alpha Generation
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Performance Efficiency Curve
About the Sharpe Ratio calculator
The Sharpe ratio measures how much return you earn for each unit of risk. Use it to compare investments or funds.
How to use the Sharpe Ratio calculator
- In Standard Mode enter the Portfolio Return (%), Risk-Free Rate (%) and Std Deviation (Risk %).
- Or choose Advanced (Historical Data) and enter comma-separated annual returns and a benchmark.
- Press Calculate.
Formula and method
Sharpe ratio = (Portfolio return − Risk-free rate) ÷ Standard deviation
Worked example
A 10.5% return with a 2.5% risk-free rate and 8% standard deviation: (10.5 − 2.5) ÷ 8 = 1.0.
An example. A portfolio returning 10% with a 2% risk-free rate and a 16% standard deviation has a Sharpe ratio of (10 − 2) ÷ 16 = 0.5.
When to use the Sharpe Ratio calculator
- Comparing investments by return for the risk taken.
- Judging whether a fund's extra return is worth its volatility.
- Evaluating a portfolio.
Common mistakes to avoid
- Comparing Sharpe ratios calculated over different periods.
- Treating past ratios as a guarantee.
Tips
- A ratio above 1 is generally considered good, above 2 very good.
- Compare funds over the same period.
- Standard deviation treats upside and downside swings alike.
Frequently Asked Questions
The return on a very safe investment such as short-term government bills.
Above 1 is often considered good and above 2 very good, but it depends on the type of investment.