Sharpe ratio calculator
Sharpe ratio calculator: paste a return series or supply the mean and standard deviation directly to get the periodic and annualised Sharpe ratio, annualised return and volatility, compounded return, Sortino ratio and maximum drawdown.
Runs in your browserEvery computation happens in your browser — your data never leaves this device.
Input mode and parameters
Returns are entered as percentages (2 means 2%). The standard deviation uses the sample convention (divide by n − 1) and daily data is annualised over 252 periods.
Risk-adjusted return
51.00%1.70%0.441.5312.00%12.53%5.87%3.99-1.00%What this tool does
- Compare two funds or strategies by how much excess return each unit of risk buys.
- Paste a monthly or daily return series and get the annualised return, volatility and Sharpe ratio in one go.
- Recompute the Sharpe and Sortino ratios when a report only gives you the mean and standard deviation.
- Review your own track record: pair the maximum drawdown with the volatility to judge whether the return was worth the risk.
Example
Input
Return series “2, -1, 3, 1.5, -0.5” (%), frequency “Monthly”, annual risk-free rate 3%
Output
Observations 5, mean return per period 1.00%, standard deviation per period 1.70%, Sharpe ratio per period 0.44, annualised Sharpe 1.53, annualised return 12.00%, annualised volatility 5.87%, annualised Sortino 3.99, maximum drawdown -1.00%
The annualised Sharpe is the periodic Sharpe × √12 ≈ 0.44 × 3.464 ≈ 1.53, so the annual figure changes with the frequency — always compare strategies at the same frequency.
Frequently asked questions
What counts as a good Sharpe ratio?
Rule of thumb: an annualised Sharpe above 1 is decent, above 2 is strong, and below 0 means you took risk without beating the risk-free rate. It is a convention rather than a hard standard, so read it alongside capacity, drawdowns and sample length.
Why does monthly data give a different annualised Sharpe than daily data?
Because returns are not independent and identically distributed: daily data carries more short-term noise and autocorrelation, so multiplying by √252 amplifies something different from √12. Always compare strategies on the same frequency and the same window.
Why divide by n − 1 in the standard deviation?
Your series is a sample of history, and the sample standard deviation (dividing by n − 1) is the unbiased estimator of the population volatility — the industry convention for historical volatility. With a single observation there is nothing to estimate, so the tool reports an error.
How does the Sortino ratio differ from the Sharpe ratio?
The Sharpe ratio treats upside and downside volatility alike, while the Sortino ratio uses only the downside deviation, which matches the intuition of caring about losses. A low Sharpe with a high Sortino usually means the volatility came mostly from gains.
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