Sharpe ratio calculator (annualised)
The Sharpe ratio, introduced by William F. Sharpe in 1966, measures excess return per unit of total volatility. The formula is (R_p − R_f) / σ_p, where R_p is the portfolio return, R_f is the risk-free rate, and σ_p is the standard deviation of returns. Annualised Sharpe multiplies daily by √252, weekly by √52 and monthly by √12. A Sharpe above 1 is generally considered good, above 2 excellent.
How to use
- Paste returns
One return per line as decimals (0.005 = 0.5%).
- Pick frequency
Daily, weekly or monthly.
- Enter risk-free rate
Annual rate as a decimal (0.045 for 4.5%).
- Read the result
Drogo returns mean return, volatility and annualised Sharpe.
Frequently asked questions
- Sharpe vs. Sortino?
- Sharpe penalises all volatility (upside and downside). Sortino penalises only downside deviation. For asymmetric strategies (long-vol, options selling) Sortino is more informative.
- What Sharpe is realistic for retail?
- A consistent retail discretionary trader rarely sustains Sharpe > 1.5 net of costs over multiple years. Long-only equity benchmarks have ~0.4 Sharpe historically.
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