Sharpe Ratio from Series
Computes the Sharpe ratio directly from a series of returns: the mean return minus the risk-free rate, divided by the sample standard deviation. It's the most practical way to get the Sharpe when you have the history at hand, without computing the mean and volatility separately. Remember the result comes in the frequency of the data entered — to annualize monthly returns, multiply by the square root of twelve. Enter the list of returns and the risk-free rate for the same period.
Result
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Sharpe Ratio from Series
Computes the Sharpe ratio directly from a series of returns: the mean return minus the risk-free rate, divided by the sample standard deviation. It's the most practical way to get the Sharpe when you have the history at hand, without computing the mean and volatility separately. Remember the result comes in the frequency of the data entered — to annualize monthly returns, multiply by the square root of twelve. Enter the list of returns and the risk-free rate for the same period.
The Sharpe straight from the return history
The Sharpe ratio is the best-known risk-adjusted return measure in the world, but you usually have to compute the mean and volatility of returns before applying it. This tool skips that step: paste the return series and it does everything, returning the Sharpe directly. It's the practical way to evaluate a history you already have at hand.
The calculation is the mean return minus the risk-free rate, divided by the sample standard deviation of the returns. The result measures how much excess return the strategy delivered per unit of volatility — the higher, the better the balance between gain and risk. It's the ruler that lets you compare investments with different risk profiles on the same scale.
Enter the list of period returns and the risk-free rate at the same frequency as the data. The tool returns the Sharpe at that frequency; to annualize a monthly series, multiply the result by the square root of twelve. Remember the Sharpe penalizes all volatility equally, including upside — to focus only on the falls, see the Sortino ratio.
Related Tools
Burke Ratio
Computes the Burke ratio: the excess return over the risk-free rate divided by the square root of the sum of squared drawdowns. Unlike the Sharpe ratio, which penalizes all volatility, Burke focuses only on the falls, and by squaring each drawdown it punishes deep falls more than shallow ones. It's one of the tail-risk-adjusted performance metrics. Enter the portfolio return, the risk-free rate and the list of drawdowns in percent.
Modigliani M² Measure
Computes Modigliani's M² measure (also M-squared or RAP), which translates the Sharpe ratio back into percentage points of return. The idea is plain: scale the portfolio to the market's volatility and ask what it would have returned under those conditions, M² = Rf + (Rp − Rf)·(σmarket/σportfolio). Unlike the Sharpe ratio, a bare number, M² compares directly against the benchmark's return. Above the market return, the portfolio beat the benchmark on a risk-adjusted basis. Enter the portfolio return and volatility, the risk-free rate and the market volatility.
Sterling Ratio
Computes the Sterling ratio, a drawdown-adjusted performance measure. It divides return by a measure of how much the portfolio typically falls from peak to trough, rewarding strategies that deliver return without big drops. The tool shows two versions: the modern one, using excess return over the risk-free rate divided by the average drawdown, and the original Deane Sterling Jones form, which adds a ten percent constant to the denominator. Enter the annualized return, the risk-free rate and the average annual maximum drawdown.
The results provided by this tool are for general informational and educational purposes only and do not constitute professional, financial, medical, legal, tax or accounting advice. Always confirm important decisions with a qualified professional and official sources.