Sharpe ratio calculator

Sharpe ratio calculator: what it is for

Paste the monthly returns of a fund, portfolio or strategy, or enter the annual return and volatility, and see the Sharpe ratio (return above the risk-free rate per unit of risk), the Sortino ratio (which only counts the drops), the annualized return and volatility and the maximum drawdown of the period. A scale shows whether the result is poor, fair, good or great, and the chart compares the cumulative return with the risk-free rate. Educational tool: results are estimates, not investment advice.

Everything runs in your browser: nothing you paste or open is sent to a server.

How to use

1. Choose a list of returns or annual figures.
2. Enter the risk-free rate.
3. See Sharpe, Sortino and drawdown.

When to use it

• Compare investment funds.
• Evaluate a trading strategy.
• Check whether portfolio risk pays off.

Frequently asked questions

What is the Sharpe ratio?

It is how much an investment earned above the risk-free rate for each unit of risk (volatility). Formula: (return − risk-free rate) ÷ standard deviation of returns. The higher, the better the reward for the risk taken.

What is a good Sharpe ratio?

As a guide: below 0, the investment lost to the risk-free rate; between 0 and 1 it is fair; between 1 and 2, good; above 2, very good; above 3, excellent (and rarely sustained).

And the Sortino ratio?

It is similar but only considers the volatility of negative months (downside deviation). It does not penalize upside swings, so it is useful for strategies with large, irregular gains.

How do I use monthly returns?

Paste a list of monthly returns in % (one per line or separated by spaces or semicolons), for example from a fund statement. The tool annualizes return and volatility and calculates Sharpe, Sortino and maximum drawdown.

Is it really free?

Yes, 100% free. No sign-up, no subscription and no usage limits. All Tools123 are free.

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