Evaluate risk-adjusted investment performance by comparing returns to volatility.
Return & Benchmark
Yield of a safe asset like T-Bills
Volatility (Risk)
Total market volatility
Volatility from negative returns only
Risk-Adjusted Performance
Sharpe Ratio0.60Suboptimal Rating
Sortino Ratio0.90Penalizes only downside risk
Sharpe Sensitivity (vs Volatility)
About this calculator
Overview
The Sharpe Ratio and Sortino Ratio are tools used by investors to determine the risk-adjusted return of an investment. They answer the question: 'Is this return worth the risk taken?'
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Pro Tips
A Sharpe ratio > 1 is generally considered 'good', > 2 is 'very good', and > 3 is 'excellent'.
The Sortino ratio is often preferred by retail investors because it doesn't penalize 'good' volatility (sudden price spikes).
Always use the same time period (daily, monthly, annual) for all inputs to ensure an accurate calculation.
If the Sharpe ratio is negative, it means the risk-free rate is performing better than the investment, or the investment has negative returns.
