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Sharpe ratio calculator

The classic risk-adjusted return: (portfolio return − risk-free rate) ÷ standard deviation. It tells you how much excess return you earn per unit of total volatility — the higher, the better the reward for the risk taken. Enter summary figures or paste a returns series to derive the volatility.

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Need Sharpe ratio, Volatility (annualised)? The Sharpe ratio calculator derives it from Input, Portfolio return (%/yr), Risk-free rate (%/yr), Standard deviation σ (%/yr), Periodic returns (%), Risk-free per period (series, %), Periods per year (series) in one step. For instance, with Input = Summary figures, Portfolio return (%/yr) = 12.5, Risk-free rate (%/yr) = 4.5, Standard deviation σ (%/yr) = 18, Periodic returns (%) = 2.5, -1.3, 4.2, 0.8, -2.1, 3.5, 1.2, -0.7, 2.9, 1.8, -1.1, 3, Risk-free per period (series, %) = 0.375 and Periods per year (series) = 12 it returns Sharpe ratio = 0.444 and Volatility (annualised) = 18.

How to use it

  1. Enter your values: Input, Portfolio return (%/yr), Risk-free rate (%/yr), Standard deviation σ (%/yr), Periodic returns (%), Risk-free per period (series, %), Periods per year (series).
  2. Read the result instantly: Sharpe ratio, Volatility (annualised).

Frequently asked questions

How does the Sharpe ratio calculator work?

It takes Input, Portfolio return (%/yr), Risk-free rate (%/yr), Standard deviation σ (%/yr), Periodic returns (%), Risk-free per period (series, %) and Periods per year (series) and derives Sharpe ratio and Volatility (annualised) from them. The calculation is live as you type, so the result updates on every change.

Which values does the calculator ask for?

7 values: Input, Portfolio return (%/yr), Risk-free rate (%/yr), Standard deviation σ (%/yr), Periodic returns (%), Risk-free per period (series, %) and Periods per year (series). Nothing else is required — no account, no file upload.

What does a typical calculation look like?

With Input = Summary figures, Portfolio return (%/yr) = 12.5, Risk-free rate (%/yr) = 4.5, Standard deviation σ (%/yr) = 18, Periodic returns (%) = 2.5, -1.3, 4.2, 0.8, -2.1, 3.5, 1.2, -0.7, 2.9, 1.8, -1.1, 3, Risk-free per period (series, %) = 0.375 and Periods per year (series) = 12, the calculator returns Sharpe ratio = 0.444 and Volatility (annualised) = 18. Those figures come from running this exact tool, so you can reproduce them by entering the same values.

How much does the result change with different inputs?

It moves a lot. Using Input = Returns series (%), Portfolio return (%/yr) = 25, Risk-free rate (%/yr) = 5, Standard deviation σ (%/yr) = 36, Periodic returns (%) = 2.5, -1.37, 4.62, 0.92, -2.52, 4.38, 1.56, -0.94, 4.06, 2.61, -1.65, 4.65, Risk-free per period (series, %) = 0.75 and Periods per year (series) = 24 instead, Sharpe ratio goes from 0.444 to 1.512 — which is why it is worth testing a few scenarios rather than trusting a single figure.

Which “Input” option should I choose?

You can pick between « Summary figures » and « Returns series (%) ». Each one changes what the calculator works out, so switch and compare — the default is « Summary figures ».

What does it give for smaller values?

Scaled down to Input = Summary figures, Portfolio return (%/yr) = 6.3, Risk-free rate (%/yr) = 4, Standard deviation σ (%/yr) = 9, Periodic returns (%) = 2.5, -1.3, 4.2, 0.8, -2.1, 3.5, Risk-free per period (series, %) = 0.2 and Periods per year (series) = 6, Sharpe ratio comes out at 0.256. The relationship is worth checking at both ends before you rely on a single result.

When would I actually use this?

Comparing two investments that pay at different times, deciding whether a project clears its cost of capital, and sanity-checking a valuation someone else produced.

What is the most common mistake?

Trusting a valuation without asking what share of it comes from the terminal value. Past 70%, the answer is an assumption about the distant future dressed up as a calculation.

What is the difference between the Sharpe ratio calculator and the Sortino ratio calculator?

This one returns Sharpe ratio and Volatility (annualised); the Sortino ratio calculator returns Sortino ratio and Downside deviation (annualised). That is the whole difference — open the one whose figure you need.

Is there a tool for the next step?

Treynor ratio calculator is the closest one after this: The Treynor ratio measures excess return per unit of systematic (market) risk. It divides the portfolio's return above the risk-free rate by its beta — unlike the Sharpe ratio, which uses total volatility. Higher is better, and it is ideal for ranking well-diversified portfolios whose only real risk is market exposure.

Further reading

All guides →
ExplainerThe Sharpe Ratio, and What It Quietly AssumesSharpe = (return − risk-free) ÷ standard deviation, so it prices return per unit of volatility — and volatility is symmetric. Two funds can share a Sharpe of 0.4939 while their Sortino ratios are 8.59 and 0.74. Annualising by √12 assumes independent returns: at an autocorrelation of 0.2 the published figure is 20 percent too high.ExplainerThe Sortino Denominator Nobody Agrees OnOn one twelve-month series the Sortino ratio is 7.7518 or 3.8759 depending only on whether the squared shortfalls are divided by all twelve months or by the three below target. The two conventions differ by exactly the square root of twelve over three, and they can rank two funds in opposite orders.ExplainerVolatility Is Not Risk, and the Square Root of Time Is a ChoiceAnnualised volatility = period standard deviation × √(periods per year), and that √t scaling assumes independent increments. It is a model, not arithmetic: at a daily autocorrelation of 0.1 a 60 percent annualised figure should read 66.3. The payload is volatility drag — the arithmetic mean exceeds the geometric by about σ²/2, so at 8 percent average return and 40 percent volatility the compound outcome is zero.ExplainerLeverage, Liquidation, and the Asymmetry of LossesLiquidation distance is (1 ÷ L − m) ÷ (1 − m): at 20× that is 2.56 percent on a 2.5 percent maintenance margin, inside a normal day. Recovering a loss needs 1 ÷ (1 − L) − 1, so 90 percent lost needs 900 percent back. Combined, repeated leveraged bets on a market with a genuine +0.08 percent edge compound at −1.23 percent per period at 10×.ExplainerHow Staking Rewards Actually Work: Nominal Rate, Compounding, and What Eats ItAn advertised 8 percent becomes 8.33 percent once daily rewards compound — and then 7.46 percent after a 10 percent validator commission, and less again after unbonding time. Here is each step, with the arithmetic laid out.ExplainerImpermanent Loss Explained: What Providing Liquidity Really CostsImpermanent loss is not a fee and it is not temporary: it is the gap between your liquidity position and simply having held the two tokens. Here is the formula, a table of price change against loss, and the fee income you would need to come out ahead.