Sharpe Ratio Calculator

Your details

Use summary stats if you already know your return and volatility, or paste returns to compute them.
Your portfolio annualized return over the period.
%
Annualized standard deviation of the portfolio returns.
%
Annual yield on a safe asset such as short-term Treasury bills.
%
A reference Sharpe ratio to beat, for example a broad index over the same window. Leave blank to skip.
Sharpe ratioSub-optimal
0.53
Excess return (annual)8%
Annualized return12%
Annualized volatility15%
Vs. benchmark Sharpe0.03
0.53
Sub-optimal<1Good1-2Excellent2+

A Sharpe ratio of 0.53 rewards each unit of risk with 0.53 units of excess return.

  • For every 1% of annual volatility, this portfolio earns about 0.53% of excess return above the risk-free rate.
  • The annual excess return is 8% (12% return minus the 4% risk-free rate).
  • This beats the benchmark Sharpe of 0.5 by 0.03, better risk-adjusted performance.

Next stepCompare this against a benchmark like the S&P 500 over the same window, using the same return frequency, to judge whether the risk paid off.

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