Sharpe Ratio Calculator

Compute Sharpe and Sortino ratios directly from a pasted return series, with an optional benchmark comparison.

This return series has an annualized Sharpe ratio of 1.36 (Good), versus 1.19 for the benchmark.

Annualized Sharpe

1.36

Annualized Sortino

2.72

Mean Return (monthly)

1.20%

Std. Deviation (monthly)

2.10%

Your Portfolio

Sharpe

1.36

Sortino

2.72

Benchmark

Sharpe

1.19

Sortino

2.17

Rule of thumb: below 1 is suboptimal, 1 to 2 is good, 2 to 3 is very good, and above 3 is excellent, though what counts as a strong Sharpe ratio varies by asset class and strategy.

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The Sharpe ratio measures return per unit of risk: how much extra return an investment earned above the risk-free rate, for each unit of volatility it took on to get there. A high Sharpe ratio means a smoother, more efficient path to a given return; a low one means the ride was bumpier than the reward justified.

Most Sharpe ratio calculators ask you to already know your own standard deviation, which almost nobody has sitting around. This one takes a pasted series of periodic returns instead and computes everything from there, including the Sortino ratio (which only penalizes downside volatility) and, optionally, a side-by-side comparison against a benchmark's own return series.

How does this calculator work?

Paste a series of periodic returns as percentages, separated by commas, spaces, or new lines, and select what cadence they're in (daily, weekly, monthly, quarterly, or annual).

Enter an annualized risk-free rate. The calculator converts it to match your return period automatically.

Optionally paste a benchmark's returns over the same period and length for a direct comparison. The calculator computes the mean return, standard deviation, and downside deviation for each series, then the Sharpe and Sortino ratios, properly annualized using the square root of periods per year (the standard, and frequently mis-applied, annualization convention).

Worked example

12 months of returns: 2.5%, -1.1%, 3.4%, 0.8%, -2.3%, 4.1%, 1.2%, -0.5%, 2.8%, 1.9%, -1.4%, 3.0%, against a 4.5% annual risk-free rate.

Monthly mean return: 1.20%
Monthly standard deviation: 2.06%
Annualized Sharpe ratio: ≈1.7
Annualized Sortino ratio: ≈2.4

How the numbers work

The monthly Sharpe ratio (mean monthly return minus the monthly risk-free rate, divided by the monthly standard deviation) gets multiplied by the square root of 12, not by 12 directly, to annualize it correctly. Multiplying by 12 instead of √12 is a common error that inflates the ratio roughly 3.5 times too high.

The Sortino ratio here is higher than the Sharpe ratio, which is typical: it only counts the downside months against the denominator, so a return series with more upside variance than downside variance will show a better Sortino than Sharpe.

A Sharpe ratio around 1.7 is generally considered good. Compare it against a benchmark's Sharpe ratio computed the same way, rather than a memorized reference number, since "the market's Sharpe ratio" varies significantly depending on the exact period measured.

Risk-adjusted return is only half the picture: pair it with a position's raw total return and CAGR to see what the volatility actually bought, and with disciplined position sizing to control that volatility in the first place. The same efficiency lens applies whether the returns come from price gains, reinvested dividends, or a long-horizon retirement portfolio.

Sharpe Ratio Calculator glossary

Sharpe Ratio: Excess return (return minus the risk-free rate) divided by standard deviation, a measure of return earned per unit of total volatility.
Sortino Ratio: Like the Sharpe ratio, but the denominator only counts downside deviation (volatility below the risk-free rate), rather than total volatility, which many consider a more honest risk measure since upside volatility isn't really "risk" in the way investors experience it.
Annualization: Scaling a per-period ratio up to a yearly figure by multiplying by the square root of the number of periods per year, not by the number of periods directly.
Standard Deviation: A measure of how spread out a set of returns is around their average, the basis for the "risk" in a risk-adjusted return ratio.

Sharpe Ratio Calculator FAQs

How many returns do I need to enter?+

At least 2 to compute a standard deviation, but more data gives a more reliable estimate. A common practice is to use at least a year of data at whatever frequency you're measuring (12 monthly returns, 252 daily returns, and so on).

What counts as a good Sharpe ratio?+

As a rule of thumb, below 1 is generally considered suboptimal, 1 to 2 is good, 2 to 3 is very good, and above 3 is excellent, though acceptable ranges vary by asset class and strategy. A leveraged or highly concentrated strategy might target a much higher Sharpe than a diversified index fund.

Why does the Sortino ratio differ from the Sharpe ratio?+

Sharpe penalizes all volatility equally, including strong up months. Sortino only penalizes returns that fall short of the risk-free rate, so a return series with lots of upside variance but limited downside will show a notably higher Sortino than Sharpe.

Can I use this without a benchmark?+

Yes, the benchmark comparison is optional. Without it, you'll still get the Sharpe and Sortino ratios and the standard interpretation bands for your own series.