Sharpe Ratio Calculator

Measure arithmetic excess return per unit of volatility over a stated sample. Compare matched periods and inspect the assumptions behind each ratio.

Data basis

Matched return frequency

Sample start

Sample end

Use the same sample and frequency for every input. Dates identify the window; they do not create observations. Only portfolios with matching stated windows and data bases share a comparison chart.

Observed returns (%)

One row per period, separated by semicolons or tabs: period; portfolio return; paired risk-free return. Use a decimal point or comma and no thousands grouping. At least two unique period labels are required.

Entered return-series preview (%)
Period	Portfolio return	Risk-free return	Excess return

Presets

Portfolio

Arithmetic Mean Portfolio Return (Annual %)

Risk-Free Rate (Annual %)

Portfolio Std Dev (Annual %)

Benchmark optional

Quick Load

Benchmark Return (Annual %)

Benchmark Std Dev (Annual %)

Advanced Parameters

Portfolio–Benchmark Correlation (ρ) 0.85

−1.0 (inverse)0 (none)+1.0 (perfect)

Observed CAGR (%) Calmar

Enter CAGR measured over the same window. Return-series mode calculates CAGR from the supplied portfolio observations.

Downside Std Dev (Annual %) Sortino below risk-free rate

Max Drawdown (%) Calmar enter positive, e.g. 18.5 for −18.5%

Portfolio Beta Treynor vs market

Periods Observed Significance 95% normal approximation assuming independent, identically distributed normal excess returns

Sharpe Ratio

Initializing

Results appear after calculation initializes.

Annualized Mean Excess Return

Unavailable

Annualized Excess-Return Volatility

Unavailable

Sharpe Ratio

Unavailable

Active Return

Unavailable

Information Ratio

Unavailable

Tracking Error

Unavailable

Benchmark Sharpe

Unavailable

Sharpe vs Benchmark

Unavailable

M² Measure

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Sortino Ratio

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Sortino Ratio

Enter Downside Std Dev ↑

Calmar Ratio

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Treynor Ratio %/β

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Jensen's Alpha CAPM

—

Approximate 95% confidence interval

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Portfolio vs Benchmark

Metric	Portfolio	Benchmark	Difference

Tracking error approximated from inputs assuming user-configurable correlation (default 0.85) between portfolio and benchmark. Use a true return series for an exact Information ratio.

Sharpe Sensitivity to Volatility

How your Sharpe ratio changes as standard deviation varies ±3 percentage points.

Std Dev	Sharpe Ratio	Excess-return sign

Risk vs Return

Points show annualized excess-return volatility and arithmetic mean excess return. Dashed lines have constant Sharpe slopes. Select a point to inspect its data basis and sample window.

Asset Allocation Blender

Blend two assets using the selected return frequency and the current mean risk-free return. Use matched samples for both assets. The frontier shows periodic mean return and volatility from these summary assumptions.

Asset A

Return (%)

Std Dev (%)

Asset B

Return (%)

Std Dev (%)

Asset A Weight 60%

0% A / 100% B100% A / 0% B

A–B Correlation 0.30

Blended Return

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Blended Std Dev

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Blended Sharpe

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Efficient Frontier

Full risk/return curve as Asset A weight varies 0→100%.

Remember financial inputs on this device

A blank link is selected by default. Anyone with an included-data link can read all displayed financial inputs and return observations.

Include the financial inputs shown below

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3 min read 4 steps 6 terms 3 examples 6 FAQs Sharpe = (Rp − Rf) / σp

The Sharpe ratio describes arithmetic mean excess return relative to its variability.

YMYL Reviewed by Calculover Editorial Review · Updated 2026-05-14 · 5 sources

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Walk-through

How to Use This Calculator

4 steps

Choose a Data Basis

Choose summary statistics or paired return rows. Use arithmetic mean returns, not CAGR, and match the frequency and sample window.

Match the Risk-Free Return

Use a risk-free return in the same currency and input period. Series mode subtracts each paired risk-free observation before calculating sample statistics.

Review Volatility and Annualization

Series mode uses sample excess-return deviation with n−1. Annualization scales the mean by periods/year and deviation by its square root, assuming uncorrelated excess returns.

Compare Like-for-Like Samples

Inspect the sign, sample dates and assumptions. Match windows before comparing. A ratio is a sample measure, not an investment grade or a forecast.

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Reference

Formula & Methodology

2 formulas

Sharpe Ratio

Sharpe = (Rp − Rf) / σp

Summary: Rp and Rf are matched-period arithmetic means; σp is matched volatility with constant risk-free return. Series: mean(Rp−Rf) / sample SD(Rp−Rf), using n−1. Zero deviation has no finite ratio.

Annualization

Annual Sharpe = Monthly Sharpe × √12

For k matched periods per year, annual mean excess = periodic mean × k; annual deviation = periodic deviation × √k. The square-root rule assumes uncorrelated excess returns. It is not CAGR.

✓

YMYL

Trust, Methodology & Sources

Reviewed by Calculover Editorial Review · Updated 2026-05-14 · 5 sources

Editorial accountability

Author: Quinn Sumner - Editor

Owner: Quinn Sumner - Editorial owner

Reviewer: Calculover Editorial Review - Source and limitation review

Last reviewed: 2026-05-14

Last verified: 2026-05-14

Data effective: 2026-05-14

Methodology

Summary mode divides matched-period arithmetic mean excess return by supplied volatility, with constant risk-free return in that period. Series mode computes paired excess returns and their sample deviation using n−1. Mean annualization uses periods/year and deviation uses its square root, conditional on uncorrelated excess returns. The 95% interval is an iid-normal delta approximation, not an exact interval. Calmar uses observed CAGR and entered maximum drawdown over the same window. Benchmark-relative metrics are separately labeled. Inputs and sample dates are not independently verified.

Assumption: User-entered summary inputs and observations share a currency, sample window, fee basis and return frequency.

Assumption: Square-root annualization assumes uncorrelated excess returns; the approximate confidence interval additionally assumes iid normal excess returns.

Assumption: Fees, taxes, illiquidity and valuation smoothing are reflected only if the supplied observations already include their effects.

Limitations & guidance

Sharpe does not summarize all tail, liquidity, drawdown or investor-specific risks. A signed sample value is not a universal investment grade.

Match sample dates, frequency, risk-free convention and fees before comparing portfolios. Dates alone do not prove data quality or adequate sample size.

Calculover Investing Standards · Last Verified: May 2026 · Next Review: May 2027

Professional guidance: Sharpe Ratio Calculator is for investing education only and is not investment, tax, or fiduciary advice. Manager-selection and allocation decisions should be reviewed with a qualified financial professional.

Primary sources

The Sharpe Ratio - William F. Sharpe / Journal of Portfolio Management

Beginners' Guide to Asset Allocation, Diversification, and Rebalancing - U.S. Securities and Exchange Commission

Mutual Funds and ETFs - U.S. Securities and Exchange Commission

The Statistics of Sharpe Ratios - Andrew W. Lo / MIT Sloan

Measures of Scale - NIST/SEMATECH e-Handbook of Statistical Methods

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Glossary

Key Terms Explained

6 terms

Sharpe Ratio Arithmetic mean excess return divided by the deviation of excess returns over the same sample and period. It does not measure every form of investment risk.

Risk-Free Rate Reference return in the same currency and observation period. A Treasury yield must be converted to a matched-period return before pairing it with periodic returns.

Standard Deviation Dispersion around an arithmetic mean. Series mode uses excess-return sample variance divided by n−1, then takes its square root.

Sortino Ratio Mean excess return divided by a supplied downside deviation. Its target, denominator convention and frequency must be stated before comparing results.

Excess Return Portfolio return minus the paired risk-free return for one observation period. Positive and negative observations remain signed in the sample.

Information Ratio Mean active return relative to a benchmark divided by tracking error. It uses a different reference from the risk-free Sharpe ratio.

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Scenarios

Real-World Examples

3 worked examples

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Conservative 60/40 Portfolio

Long-term balanced allocation

Portfolio Return 7.5% Risk-Free Rate 4.5% Standard Deviation 10% Sharpe Ratio 0.30

For these annual summary inputs, (7.5 − 4.5) / 10 = 0.30. The entered mean excess return is 3 percentage points per 10 points of volatility. This illustrative sample does not establish suitability.

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All-Equity Index Portfolio

100% S&P 500 over 10 years

Portfolio Return 11% Risk-Free Rate 3% Standard Deviation 16% Sharpe Ratio 0.50

For the stated annual inputs, (11 − 3) / 16 = 0.50. The mean excess is 8 percentage points and volatility is 16 points. These assumed figures are not a verified historical S&P 500 average.

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Hedge Fund — Trend Strategy

Quantitative trend-following fund

Portfolio Return 14% Risk-Free Rate 4% Standard Deviation 9% Sharpe Ratio 1.11

For these annual inputs, (14 − 4) / 9 = 1.11 rounded. The ratio describes 10 percentage points of mean excess per 9 points of volatility. Fees, sample selection and tail risks still require separate review.

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Reference

Cite This Calculator

APA & MLA

Use either format to cite this calculator in a paper, report, or resource list.

APA

MLA

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Deep Dive

Understanding the Sharpe Ratio for Risk-Adjusted Returns

4 chapters · 3 min read

The Sharpe ratio describes arithmetic mean excess return relative to its variability. It summarizes an entered sample; it neither grades an investment universally nor predicts its next return. Summary and series modes must use the same period convention to be comparable.

Arithmetic Means and Paired Excess Returns

Sharpe uses an arithmetic mean, not CAGR. In summary mode, enter means and volatility for one matched period, with a constant risk-free return in that period. Series mode first forms each portfolio-minus-risk-free observation, then calculates its arithmetic mean and sample standard deviation using n−1. When risk-free returns vary, portfolio volatility alone is not the same denominator.

Interpreting Signed Sample Values

A positive ratio means positive mean excess return; a negative ratio means the sample mean fell below its risk-free reference. Zero means zero mean excess when deviation is positive. Zero deviation leaves no finite ratio. No fixed cutoff proves quality, skill or suitability. Compare sample windows, fee treatment, currency and frequency before comparing values.

Annualization and Approximate Confidence

The square-root annualization rule assumes uncorrelated excess returns and stable moments; serial correlation can invalidate it. The displayed 95% interval is a named iid-normal approximation: independent, identically distributed normal excess returns. It is not an exact small-sample guarantee, a probability of future profit, or a correction for fat tails and selection bias.

Keep Other Risk Measures Distinct

CAGR describes compounded growth, not the arithmetic Sharpe numerator. Calmar uses observed CAGR divided by maximum drawdown over the same window. Sortino uses a separately specified downside deviation; Information ratio uses benchmark-relative active returns and tracking error. None makes volatility a complete measure of risk or removes the need to examine losses, liquidity and fees.

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Questions

Frequently Asked Questions

6 questions

What does a higher Sharpe ratio mean?+

For matched positive-excess samples, it means more arithmetic mean excess return per unit of excess-return volatility. There is no universal good/excellent threshold. A larger estimate alone does not prove skill, suitability or future performance.

What risk-free rate should I use?+

Use a reference with the same currency and return period. A quoted annual yield is not automatically a monthly realized return. Summary mode assumes the risk-free return is constant within the input period; series mode accepts paired observations.

How is Sharpe ratio different from Sortino?+

Sharpe uses the deviation of all excess returns. Sortino uses a downside deviation relative to a stated target and denominator convention. The ratios describe different risks; one is not universally preferable for every portfolio.

Why does my Sharpe ratio differ from the fund's reported number?+

Check the sample dates, arithmetic versus compounded return basis, observation frequency, paired risk-free returns, fees and sample-deviation convention. Serial correlation and smoothed valuations can also affect the estimate and its annualization.

Can a Sharpe ratio be negative?+

Yes. With positive deviation, a negative ratio means mean portfolio return was below the matched risk-free reference in the stated sample. It remains a signed descriptive measure; it does not establish what any investor should hold.

How long should the measurement window be?+

No fixed number of years guarantees a reliable comparison. State the dates, observation count and frequency. More data do not remove regime changes or dependence. The displayed interval is an iid-normal approximation, not a guarantee of future results.

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Sharpe Ratio Calculator

How to Use This Calculator

Choose a Data Basis

Match the Risk-Free Return

Review Volatility and Annualization

Compare Like-for-Like Samples

Formula & Methodology

Trust, Methodology & Sources

Key Terms Explained

Real-World Examples

Cite This Calculator

Understanding the Sharpe Ratio for Risk-Adjusted Returns

Arithmetic Means and Paired Excess Returns

Interpreting Signed Sample Values

Annualization and Approximate Confidence

Keep Other Risk Measures Distinct

Frequently Asked Questions

Get a branded PDF of your results

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