Sharpe Ratio Calculator
Risk-adjusted return: (mean return − risk-free rate) ÷ standard deviation. Cite Nobel-laureate convention.
Result
- Periods (annual)10
- Mean return (per period)8.000%
- Mean return (annualized)8.000%
- Std dev (per period, n−1)6.143%
- Std dev (annualized)6.143%
- Risk-free rate4.00%
- Excess return (annualized)4.000%
- Sharpe ratio0.6511
- Sortino ratio (downside-only)Same numerator, but denominator counts only below-risk-free-rate periods. Generally > Sharpe for upside-skewed assets.0.4415
- Quality bandAcceptable (0.5 ≤ S < 1.0) — typical for balanced portfolios.
Step-by-step
- Mean = (Σ returns) / n = 80.00 / 10 = 8.000%.
- Sample std dev (n−1): √(Σ (r−mean)² / (n−1)) = 6.143%.
- Already annual — no annualization step.
- Sharpe = (annualized mean − rf) / annualized std dev = (8.00 − 4.00) / 6.14 = 0.6511.
How to use this calculator
- List your portfolio's periodic returns (% each), comma- or space-separated.
- Pick whether the returns are annual, quarterly, or monthly — the tool annualizes for you.
- Set the risk-free rate (typically the 10-yr Treasury yield; use ~4-5% for 2026).
- Compare your Sharpe to a benchmark portfolio (S&P 500 long-run ~0.4-0.6 annual Sharpe).
About this calculator
The Sharpe ratio (William F. Sharpe, 1966; Nobel Prize 1990) measures how much excess return a portfolio earned per unit of total risk. Sharpe = (R_p − R_f) / σ_p, where R_p is portfolio return, R_f is the risk-free rate, and σ_p is the standard deviation of returns. A Sharpe of 0 means you earned exactly the risk-free rate (no compensation for the risk taken). 1.0+ is considered "good"; 2.0+ is "very good"; and anything above 3.0 should make you double-check the math. The ratio is annualized by convention — monthly data scales by √12, quarterly by √4. The Sortino ratio replaces total volatility with downside-only deviation; useful when returns are upside-skewed (e.g., long-volatility strategies). Both ratios depend critically on the sample window — a 3-year window during a bull market overstates the Sharpe of an equity portfolio.