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Sharpe and Sortino ratio
Return against risk, twice — because one of them counts a good month as risk
It runs entirely in this browser tab: what you type is never uploaded, and the tool makes no network request while it works. Open your browser's network panel and try it — nothing leaves the page. There is no sign-up and no account.
Settings
- Risk-free rate
- Per year, and divided down to the period of the returns — quoting a yearly one against monthly returns triples the ratio. A number from 0 to 100.
- Sample or population
- Dividing by n is right when the list is everything there is, and biased low when it is a sample of one. On twelve returns the two differ by about four per cent. Choices: A sample, The whole population.
- The returns are
- What each number covers. Annualising by the square root of time is the convention and is an assumption: it holds when the returns are independent, which they are not. Choices: Yearly, Monthly, Quarterly.
How to use it
- Paste your text into the box above, or open a file.
- Adjust the settings beside it until the result is what you wanted.
- Copy the result, or save it as a file. The result updates as you type.
Questions
- Does this fetch live prices?
- No. Every price, rate and return here is one you typed in. Nothing on this page makes a network request, which is also why it cannot be out of date: there is nothing in it to go stale.
- Is tax taken into account?
- Only the rate you set. Exemptions, holding periods, what may be offset against what and how long a loss may be carried differ by country and by year, and a calculator that guessed would be wrong for almost everybody while looking authoritative.
- Is this financial advice?
- No. These are calculators: they turn the numbers you give them into other numbers. Every future rate of return is an assumption you made, and the past does not promise it — which each tool that takes one says on its own result.
- Is what I type uploaded anywhere?
- No. This page carries the whole tool as WebAssembly and runs it on your own device. Nothing you type is sent anywhere, and there is no network request to make while it works.
Other tools for measuring a record
Maximum drawdown
The deepest fall from a peak, how long it lasted, and the gain that undoes it
Bond price and yield
Price from yield, yield from price, and the duration that says how far it moves
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