Financial Calculators
Sharpe Ratio Calculator
Calculate the Sharpe ratio and annualized Sharpe ratio from portfolio return, risk-free rate, and standard deviation locally in your browser.
Measure risk-adjusted return with the Sharpe ratio.
The Sharpe ratio is the excess return of a portfolio over the risk-free rate divided by the standard deviation of the portfolio return: (Rp − Rf) / σp. A higher ratio means better risk-adjusted performance. Enter the portfolio return, risk-free rate, and standard deviation as percentages, and choose the data frequency (daily, weekly, monthly, quarterly, or annually) to annualize the ratio using √N where N is the number of periods per year. For example, with a 12% portfolio return, 4% risk-free rate, and 15% standard deviation using monthly data, the period Sharpe ratio is 0.5333 and the annualized Sharpe ratio is 1.8455. Interpretation: below 1 is poor, 1 to 2 is acceptable, 2 to 3 is good, and 3 or above is excellent. All calculations stay in your browser.
Frequently Asked Questions
Everything you need to know about this tool, how it works, and privacy.
What is the Sharpe ratio?
The Sharpe ratio measures risk-adjusted return by dividing the excess return of a portfolio over the risk-free rate by the portfolio's standard deviation: (Rp − Rf) / σp. A higher ratio means better risk-adjusted performance.
How is the annualized Sharpe ratio calculated?
Multiply the period Sharpe ratio by the square root of the number of periods per year: annualized = period × √N. For monthly data, N = 12; for daily, N = 252 (trading days); for weekly, N = 52; for quarterly, N = 4; for annual, N = 1.
How do I interpret the Sharpe ratio?
Common benchmarks: below 1 is poor, 1 to 2 is acceptable, 2 to 3 is good, and 3 or above is excellent. These are conventions; compare against relevant benchmarks and consider the investment strategy, time horizon, and market conditions.
Can the Sharpe ratio be negative?
Yes. If the portfolio return is less than the risk-free rate, the excess return and Sharpe ratio are negative, indicating the portfolio underperformed a risk-free investment after adjusting for risk.
Is my data uploaded?
No. All calculations run locally in your browser. CodeASystem does not upload or store the values you enter.