Sharpe Ratio Calculator
Sharpe ratio of a portfolio, annualised from any period, with the excess return and the return a ratio of 1 would need.
Results
Sharpe ratio
0.57143
Sharpe ratio
0.57143
Excess return
8.0000
%
Portfolio return
17.0000
%
Ratio
1.27273
What this tool does
The ratio asks how much return you earned for each unit of volatility you endured, which is why a quiet nine percent can beat a wild fifteen. Anything above 1 is generally considered good and above 2 very good, but it punishes upside volatility as harshly as downside, and it assumes returns are normally distributed — which the returns of anything with leverage or option-like payoffs emphatically are not.
Formula
S = (Rp − Rf) ÷ σp
Variables
| Symbol | Meaning | Unit |
|---|---|---|
rp | Portfolio return | % |
rf | Risk-free rate | % |
sd | Standard deviation (sample) | % |
np | Periods per year | — |
SR | Sharpe ratio | — |
SA | Sharpe ratio | — |
EX | Excess return | % |
RQ | Portfolio return | % |
CV | Ratio | — |
Worked example
- Portfolio return11 %
- Risk-free rate3 %
- Standard deviation (sample)14 %
- Periods per year1
- Sharpe ratio0.57143
- Sharpe ratio0.57143
- Excess return8.0000 %
- Portfolio return17.0000 %
- Ratio1.27273
Limitations
- This is an informational calculator, not personalised financial advice. Rates, fees, taxes and contract conditions vary between institutions and countries.
- The result is an estimate based only on the values you type. Real situations often include factors this calculator does not know about.
- Standard deviation and variance are calculated for a sample (dividing by n − 1). For a full population, divide by n instead.