Sharpe ratio calculator

Excess return per unit of volatility — the standard measure of risk-adjusted performance. Runs entirely in your browser; nothing you enter is sent or stored.

Annualised return (%)

Risk-free rate (%)

Annualised volatility / standard deviation (%)

The formula

Sharpe = (R_p − R_f) / σ_p — portfolio return minus the risk-free rate, divided by the standard deviation of portfolio returns, all annualised. If you have monthly returns, multiply the mean by 12 and the standard deviation by √12 first (√252 for daily).

Reading the number honestly

Below 0 — you were paid less than cash for taking risk.
0 to 0.5 — common for single assets over long windows.
0.5 to 1 — solid for a diversified strategy out-of-sample.
Above 1 sustained — rare in live results; in a backtest, treat as a prompt to look for overfitting before celebrating. Our walk-forward write-up shows a 1.31 in-sample Sharpe ratio collapsing to −0.24 on honest testing.

Limits worth knowing: the Sharpe ratio penalises upside and downside volatility equally, assumes returns are roughly normal (real markets have fat tails), and is only as honest as the window it's computed on.