What is the Sharpe ratio?

The Sharpe ratio measures risk-adjusted return: Sharpe = (Portfolio Return - Risk-Free Rate) / Standard Deviation of Returns. It tells you how much excess return you receive per unit of volatility taken. A Sharpe of 1.0 means every 1% of volatility earns 1% of excess return above the risk-free rate. Higher is better. Developed by William F. Sharpe (1966), it is the most widely used performance metric in investment management.

What is a good Sharpe ratio?

Sharpe ratio interpretation: below 0 is negative (losing to risk-free rate), 0 to 0.5 is poor, 0.5 to 1.0 is adequate, 1.0 to 1.5 is good, 1.5 to 2.0 is excellent, above 2.0 is exceptional. Most actively managed funds deliver Sharpe ratios between 0.5 and 1.5 over long periods. The S&P 500 has historically produced a Sharpe ratio of approximately 0.5 to 0.8 depending on the period.

What is the difference between Sharpe and Sortino ratio?

The Sharpe ratio uses total volatility (standard deviation of all returns). The Sortino ratio uses only downside deviation — the standard deviation of returns that fall below the minimum acceptable return (MAR). Because upside volatility is not penalized, Sortino is more appropriate for strategies with asymmetric return distributions (positively skewed). A Sortino ratio significantly higher than the Sharpe ratio signals positive skewness — the portfolio has more frequent large gains than large losses.

What is the Calmar ratio?

The Calmar ratio = Annual Return / Maximum Drawdown. It measures return relative to the worst peak-to-trough decline experienced, making it particularly relevant for trend-following strategies and hedge funds where large drawdowns are a primary investor concern. A Calmar ratio above 1.0 means the annual return exceeds the maximum drawdown experienced — generally considered good.

What does rolling Sharpe ratio tell you?

Rolling Sharpe shows how risk-adjusted performance has evolved over time by computing the Sharpe ratio over a moving window (e.g., 12 months at a time). It reveals whether outperformance is consistent or concentrated in specific periods, whether performance is deteriorating or improving, and how sensitive the strategy is to different market regimes. A strategy with high average rolling Sharpe but high rolling Sharpe volatility has inconsistent risk-adjusted performance.

Is this Sharpe ratio calculator free?

Yes. The Sharpe Ratio Calculator Pro on StockToolHub is completely free with no registration, account, or subscription required. All five tabs — Sharpe Ratio, Sortino and Calmar, From Series, Rolling Sharpe, and Compare — are fully accessible.

Sharpe Ratio Calculator Pro — Sharpe, Sortino, Calmar, Rolling & Compare

Portfolio Returns

Strategy Name optional

Portfolio Annual Return

Risk-Free Rate

Current 3-month T-bill or 10-year treasury yield

Annualized Volatility (σ)

Standard deviation of annual returns

Benchmark optional

Benchmark Return

Benchmark Volatility

Tracking Error opt

Std dev of (portfolio − benchmark) returns → for Information Ratio

Sharpe Ratio

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(Portfolio Return − Risk-Free Rate) ÷ Volatility

Excess Return

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Benchmark Sharpe

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Sharpe Advantage

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Information Ratio

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Return / Risk Rating

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Required Return for SR=1

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Risk-Adjusted Metrics Comparison

Strategy	Return (%)	RF Rate (%)	Volatility (%)	Downside Vol (%)	Max DD (%)	Sharpe	Sortino	Calmar	Rating

Best Risk-Adjusted Strategy

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Strategies

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Avg Sharpe

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Best Sharpe

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Worst Sharpe

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Sharpe, Sortino & Calmar by Strategy

What each tab calculates

Sharpe Ratio

Calculates the Sharpe ratio as (return − risk-free rate) ÷ volatility. Shows excess return, Information Ratio against a benchmark, the required return to achieve Sharpe = 1, and an automated performance rating from Poor to Exceptional with a grouped bar comparison chart.

Sortino & Calmar

Computes Sortino ratio using downside deviation only (penalizes only negative volatility), Calmar ratio using maximum drawdown, and Martin ratio using the Ulcer Index. Shows the Sortino/Sharpe ratio to assess return distribution asymmetry and all ratios side by side.

From Series

Calculates all ratios directly from a periodic return series. Auto-annualizes based on the selected period (daily/weekly/monthly). Computes max drawdown from the cumulative return path, alpha and Information Ratio vs benchmark, and displays a cumulative return chart.

Rolling Sharpe

Computes Sharpe ratio over a rolling window across a return series to show how risk-adjusted performance has evolved over time. Shows average, max, min rolling Sharpe, percentage of periods with positive Sharpe, and a rolling Sharpe time-series chart with zero reference line.

Compare

Side-by-side comparison of Sharpe, Sortino and Calmar ratios across up to 8 strategies. Identifies the best risk-adjusted performer and shows average, best and worst Sharpe. Grouped bar chart plots all three ratios together for each strategy.