Sharpe Ratio Calculator
Calculate a sample Sharpe ratio from equal-frequency periodic returns, one entered per-period benchmark and an explicit annualization frequency. The result describes the supplied sample and assumptions; it is not a strategy rating or forecast.
Enter one equal-frequency sample
Every row and the benchmark must use the same period, return definition and percentage scale.
One simple percentage return per line. Enter 2 for 2%, not 0.02.
Enter a per-period value already aligned with the sample frequency.
For example 12 monthly or 252 trading-day observations.
Observed excess-return ratio
Observed Excess Return Sharpe 1.0.0.
How the observed Sharpe ratio is calculated
Entered-frequency Sharpe = Mean excess return / Sample standard deviation
Annualized Sharpe = Entered-frequency Sharpe × √Periods per year
The model uses arithmetic mean and sample standard deviation with an n−1 denominator. It keeps full precision until display.
Assumptions and limits
- Returns must be aligned, equally spaced and calculated consistently.
- The benchmark must already be expressed for the same period; the page performs no rate conversion.
- Square-root annualization assumes a scaling relationship that serial dependence can violate.
- Sample selection, non-normal tails, changing volatility, costs and data errors remain outside the result.
- No ratio is a verified edge, grade, forecast or recommendation.
Worked example from the audited fixture
Enter five periodic returns of 2%, −1%, 3%, 0% and 1%, a 0.2% benchmark per period, and 12 periods per year. The sample mean is 1.0000%, so mean excess return is 0.8000% per period.
Annualized Sharpe = 0.505964 × √12 = 1.752712
How to interpret the result
The 1.581139% denominator is the sample standard deviation across all five returns. The 1.752712 output is the fixture’s square-root annualization result, not a grade or forecast. For a downside-only denominator, compare the same observations in the Sortino calculator.
Frequently asked questions
- It compares the arithmetic mean of entered returns above one entered benchmark with the sample standard deviation of those excess returns.
- Mixing daily, weekly and monthly returns makes the mean, deviation and annualization frequency inconsistent.
- Enter the per-period benchmark relevant to your own comparison. The page does not select or recommend one.
- No. Convert and verify any annual rate into the same periodic basis before entering it.
- The model uses sample standard deviation with an n−1 denominator across the entered excess-return observations.
- A negative ratio means the entered arithmetic mean return is below the entered benchmark for that sample.
- The ratio is undefined when every entered excess return is identical because the denominator is zero.
- No. The result describes the entered sample under a fixed formula and does not establish persistence or future performance.
Sources and methodology
- William F. Sharpe — The Sharpe Ratio — differential-return and variability framework plus interpretation limits.
- CFTC — Trading system claims advisory — limitations of hypothetical and past-performance claims.
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