Sharpe Ratio Calculator
Paste a return series to get the Sharpe ratio with mean and standard deviation, plus Sortino, Treynor, information ratio and tracking error, annualised.
Return and risk statistics
| Measure | Per period | Annualised |
|---|---|---|
| Mean return | 1.200% | 14.40% |
| Standard deviation | 1.698% | 5.88% |
| Downside deviation | 0.612% | 2.12% |
| Sharpe ratio | 0.5104 | 1.7680 |
| Sortino ratio | 1.4153 | 4.9026 |
| Tracking error vs benchmark | 0.222% | 0.77% |
| Benchmark mean return | 0.900% | 10.80% |
Sharpe = (mean return − risk-free rate) ÷ standard deviation, computed per period and annualised by × √(periods per year). Sortino replaces the denominator with downside deviation — the root-mean-square of shortfalls below your minimum acceptable return, averaged over every period, which is the standard form. Treynor divides the same excess return by the beta you enter, and the information ratio is the mean active return divided by tracking error. A zero standard deviation, a zero beta or a series with fewer than two returns renders an em dash instead of dividing. Estimates for analysis only — past performance never guarantees future results.
What is the Sharpe Ratio Calculator?
The ByteTools Sharpe Ratio Calculator takes a pasted series of periodic returns and works out the risk-adjusted performance measures that sit on top of it.
- Sharpe, Sortino, Treynor and information ratio from one pasted series
- Per-period and annualised figures side by side, scaled by the square root of periods per year
- Sample or population standard deviation, selectable
- Downside deviation measured against an editable minimum acceptable return
- Tracking error and mean active return versus a pasted benchmark
- A zero standard deviation, zero beta or single observation shows an em dash rather than dividing
How to use the Sharpe Ratio Calculator
- 1
Paste your portfolio returns into the first box, separated by commas, spaces or new lines.
- 2
Optionally paste a benchmark series into the second box to get the information ratio and tracking error.
- 3
Say whether the numbers are percentages or decimals and pick the return frequency.
- 4
Set the risk-free rate, the standard deviation basis and the minimum acceptable return for Sortino.
- 5
Read the Sharpe, Sortino, Treynor and information ratios along with the full statistics table.
About the Sharpe Ratio Calculator
The ByteTools Sharpe Ratio Calculator takes a pasted series of periodic returns and works out the risk-adjusted performance measures that sit on top of it. It reports the mean return, standard deviation and Sharpe ratio per period and annualised, alongside Sortino, Treynor, the information ratio and tracking error against a benchmark series.
It suits investors comparing funds, quants sanity-checking a backtest and anyone who has a column of monthly returns and wants more than an average. You control the return frequency, the risk-free rate, whether the standard deviation is a sample or population figure, and the minimum acceptable return that Sortino measures shortfalls against.
Returns are parsed and analysed entirely in your browser — nothing is uploaded and no market data is fetched. These are descriptive statistics on the numbers you supply, not investment advice, and past performance never guarantees future results.
Frequently asked questions
How do you calculate the Sharpe ratio?
Subtract the risk-free rate from the portfolio's mean return and divide by the standard deviation of those returns. To annualise a monthly figure, multiply by the square root of 12. The result tells you how much excess return you earned for each unit of volatility.
What is a good Sharpe ratio?
As a rough convention, an annualised Sharpe above 1 is considered good, above 2 is very good and above 3 is excellent, while anything below 1 suggests the return did not compensate for the volatility. The number is only comparable between strategies measured over the same period and frequency.
What is the difference between the Sharpe and Sortino ratios?
Sharpe divides excess return by total volatility, so it penalises big gains as much as big losses. Sortino divides by downside deviation instead, counting only returns that fall below your minimum acceptable return, which is a better fit when a strategy's upside is deliberately lumpy.
Why does the Sharpe ratio need annualising?
A ratio computed from monthly returns is not comparable to one from daily returns, because volatility scales with the square root of time. Multiplying the periodic Sharpe by the square root of the number of periods per year puts every frequency on the same annual footing.
Should I use sample or population standard deviation?
Use the sample version, dividing by n − 1, when your returns are a sample of a longer history, which is almost always the case in practice. The population version, dividing by n, is only right when your series is the complete universe of returns you care about.
Are my returns uploaded anywhere?
No. The series you paste is parsed and analysed entirely in your browser, and nothing is transmitted or saved, so your performance data stays private.
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