Calculator Tools

Sharpe Ratio Calculator

Compute Sharpe and Sortino ratios from a list of returns or summary stats. Annualized for daily, weekly, monthly, quarterly, and annual frequencies.

Input mode

Compute the Sharpe ratio from a series of periodic returns or from summary statistics you already have.

Paste a list of periodic returns

Separate values by spaces, commas, tabs, semicolons, or new lines. Each value is the return for one period, in decimal (0.012) or percent (1.2%) form.

Returns

Return frequency

Use for monthly fund factsheets, mutual fund, or strategy returns.

Annual risk-free rate (%)

Use a current T-bill yield (e.g. 4.5). Converted to a per-period rate using the geometric formula (1 + rf)^(1/N) - 1.

Standard deviation

Sample is the standard textbook choice for realized return series. Population matches some spreadsheet defaults.

Load example:

Sharpe (per period)

0.305

Excess return / std dev for one monthly period

Sharpe (annualized)

1.058

Multiplied by sqrt(12)

Sortino (per period)

0.492

Excess return / downside deviation

Sortino (annualized)

1.704

Sortino × sqrt(periods/year)

Interpretation

Good

An annualized Sharpe above 1 is generally considered good; above 1.5 is strong.

These bands are rules of thumb for annualized Sharpe and are not investment advice.

Observations

9 positive, 3 negative, 0 flat

Arithmetic mean (monthly)

0.858%

Annualized: 10.300%

Geometric mean (monthly)

0.847%

Annualized: 10.645%

Sample std deviation (period)

1.607%

Annualized: 5.567%

Downside deviation (period)

0.998%

Below the per-period risk-free rate; annualized: 3.457%

Period risk-free rate

0.3675%

(1 + 4.500%)^(1/12) - 1

Excess mean per period

0.4909%

Mean return minus the per-period risk-free rate

Best period

3.100%

Worst period

-2.400%

Full report

Sharpe ratio report
Frequency: Monthly (12 periods per year)
Observations: 12
Std dev method: Sample (n - 1)

Inputs
  Annual risk-free rate: 4.500%
  Per-period risk-free rate: 0.36748%
  Best period: 3.100%
  Worst period: -2.400%
  Positive / negative / flat periods: 9 / 3 / 0

Statistics
  Arithmetic mean (monthly): 0.858%
  Arithmetic mean (annualized): 10.300%
  Geometric mean (monthly): 0.847%
  Geometric mean (annualized): 10.645%
  Std deviation (monthly): 1.607%
  Std deviation (annualized): 5.567%
  Downside deviation (monthly): 0.998%
  Downside deviation (annualized): 3.457%

Ratios
  Sharpe (per period): 0.305
  Sharpe (annualized): 1.058
  Sortino (per period): 0.492
  Sortino (annualized): 1.704

Sharpe and Sortino formulas

Quick reference for the formulas this calculator uses.

Sharpe ratio (per period)

Sharpe = (mean(return) - rf_period) / stddev(return)

Sharpe ratio (annualized)

Sharpe_annual = Sharpe_period × sqrt(periods_per_year)

Per-period risk-free rate

rf_period = (1 + rf_annual)^(1 / periods_per_year) - 1

Sortino ratio

Sortino = (mean(return) - rf_period) / downside_deviation

Downside deviation

DD = sqrt( sum( min(0, r_i - rf)^2 ) / (n - 1) )

Annualized std deviation

sigma_annual = sigma_period × sqrt(periods_per_year)

Educational reference only. The Sharpe ratio assumes returns are approximately normally distributed; the assumption is weakest for heavily skewed strategies. Past performance is not investment advice.

How to use

Pick From returns to compute every statistic from a list of periodic returns, or From summary stats if you already have the mean and standard deviation.
In From returns, paste the returns separated by spaces, commas, tabs, semicolons, or new lines. Each value can be a decimal (0.012) or a percent (1.2%). Pick the matching frequency (Daily 252 or 365, Weekly, Monthly, Quarterly, or Annual).
Enter the annual risk-free rate as a percent (for example 4.5 for current T-bills). The calculator converts it to a per-period rate with the geometric formula (1 + rf)^(1/N) - 1.
Choose Sample (n - 1) standard deviation for the standard textbook convention, or Population (n) to match some spreadsheet defaults.
Read the four big stat tiles for per-period and annualized Sharpe and Sortino, the interpretation band, and the supporting statistics. Use Copy report to grab the full breakdown for a doc, spreadsheet, or shareable note.

About this tool

Sharpe Ratio Calculator computes the textbook risk-adjusted return measure two ways. In From returns mode you paste a list of periodic returns (daily, weekly, monthly, quarterly, or annual) and an annual risk-free rate, and the tool computes the per-period mean, the sample or population standard deviation, the downside deviation against the risk-free target, and both the per-period and annualized Sharpe and Sortino ratios. In From summary stats mode you enter the period mean return, the period standard deviation, the period risk-free rate, and an optional downside deviation directly, which is convenient when a brokerage report or backtest already exposes those statistics. The annual risk-free rate is converted to a per-period rate using the standard geometric formula (1 + rf_annual)^(1 / periods_per_year) - 1, which is more accurate than the linear approximation in elevated-rate environments, and the annualized Sharpe scales the per-period ratio by sqrt(periods_per_year) per the standard convention. The tool also reports the arithmetic mean, the geometric mean (when every (1 + r) factor is positive), the annualized arithmetic and geometric returns, the annualized standard deviation and downside deviation, the best and worst observed periods, and the count of positive, negative, and flat observations. The interpretation panel labels the annualized result against widely cited rules of thumb (negative is sub-cash, below 0.5 is weak, 0.5 to 1.0 is acceptable, 1.0 to 2.0 is good, 2.0 to 3.0 is very good, above 3.0 is unusual and warrants checking for survivorship bias, lookahead, or noise fitting). Useful for evaluating a stock or fund's risk-adjusted return, comparing two trading strategies on the same metric, sanity-checking a backtest, or building a portfolio dashboard. Everything runs locally with IEEE 754 double precision in your browser, so the returns you paste here are never uploaded to a server.

Free to use. Works in your browser. No signup, no login.

Related tools

Sharpe Ratio Calculator

How to use

About this tool

You may also like

Standard Deviation Calculator

Kelly Criterion Calculator

NPV and IRR Calculator

CAGR Calculator

ROI Calculator

APY Calculator

Sharpe Ratio Calculator