Sharpe Ratio Calculator
The Sharpe ratio measures how much return an investment earns for each unit of r
The Sharpe ratio measures how much return an investment earns for each unit of r
How to use Sharpe Ratio Calculator
- Choose a method: enter your return, risk-free rate, and standard deviation directly, or paste a list of periodic returns.
- Fill in the values, and for a list of returns pick the frequency and annual risk-free rate.
- Read the Sharpe ratio and the supporting stats, updated instantly as you type.
About Sharpe Ratio Calculator
The Sharpe ratio measures how much return an investment earns for each unit of risk it takes on. This free calculator works two ways: enter your portfolio return, risk-free rate, and standard deviation to get the ratio directly, or paste a list of periodic returns (daily, weekly, monthly, quarterly, or yearly) to compute an annualized Sharpe ratio automatically. When you paste a return series, the tool finds the mean and standard deviation, subtracts a per-period slice of the annual risk-free rate, and annualizes by the square root of the periods per year. It also shows the supporting stats, mean period return, period and annualized volatility, and annualized return, so you can see how the number is built. You can switch between sample (n-1) and population (n) standard deviation. Everything runs in your browser, with sensible values prefilled so you see a result immediately, and no data is uploaded or stored. Use it to compare strategies on a risk-adjusted basis, but remember the Sharpe ratio assumes roughly normal returns and treats upside and downside volatility the same.
Frequently asked questions
- What is the formula for the Sharpe ratio?
- Sharpe ratio = (portfolio return - risk-free rate) / standard deviation of returns. The numerator is the excess return earned above a risk-free benchmark, and the denominator is the volatility (risk) taken to earn it. A higher ratio means more return per unit of risk.
- What is a good Sharpe ratio?
- As a rough guide, below 1.0 is considered sub-optimal, 1.0-2.0 is generally good, 2.0-3.0 is very good, and 3.0 or higher is excellent. These are conventions, not hard rules, and they only make sense when comparing similar strategies over similar periods.
- How does the tool annualize the Sharpe ratio from a list of returns?
- It calculates the mean and standard deviation of your periodic returns, finds the per-period Sharpe ratio using a risk-free rate split across that frequency, then multiplies by the square root of the periods per year (for example sqrt(12) for monthly data). This is the standard annualization used in finance.
- Should I use sample or population standard deviation?
- When your returns are a sample from a longer history (the usual case), choose Sample (n-1). Choose Population (n) only if the data represents the entire set of outcomes you care about. The difference is small for large samples.
- Is my data sent anywhere?
- No. The calculator is 100% client-side. Your return figures and pasted data stay in your browser, are never uploaded, and require no sign-up.
- What are the limitations of the Sharpe ratio?
- It assumes returns are roughly normally distributed and penalizes upside volatility the same as downside volatility, so it can understate strategies with occasional large gains. For downside-only risk, look at the Sortino ratio instead. Use the Sharpe ratio as one measure among several.