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Sharpe Ratio Risk-Adjusted Return Calculator

Nobel laureate William Sharpe's ratio measures excess portfolio return over the risk-free rate (R_p - R_f) per unit of annualized return standard deviation σ_p: S = (R_p - R_f) / σ_p.

S = (R_p - R_f) / σ_p
Pick which value you want to calculate (or type into any field):Solving for: S — Annualized Sharpe Ratio
Calculated

Excess return per unit of total volatility

-35
unit

Annualized portfolio return in percent

-30100
%

Annualized Treasury bill / risk-free yield in percent

020
%

Annualized standard deviation of returns in percent

0.5100
%
Calculated Result · Annualized Sharpe Ratio (S)
0.55

Step-by-Step Calculation

01Canonical Law: S = (R_p - R_f) / σ_p
02Given Inputs (Base Units): R_p (%) = 12.45, R_f (%) = 4.2, σ_p (%) = 15
03Solve for S (Annualized Sharpe Ratio): S = 0.55

Nobel laureate William Sharpe's ratio measures excess portfolio return over the risk-free rate (R_p - R_f) per unit of annualized return standard deviation σ_p: S = (R_p - R_f) / σ_p.

Real-World Reference Values

Long-Run S&P 500 Equity IndexSharpe ≈ 0.45 – 0.60

~6% equity risk premium over ~15% annual volatility

Top-Quartile Multi-Asset / QuantSharpe ≥ 1.00 – 1.50

Strong diversification across uncorrelated strategies

High-Frequency / Market NeutralSharpe ≥ 2.00

Low directional market beta exposure

20-Row Comparison Table

Annualized Sharpe Ratio (S) · Expected Portfolio Return (R_p (%))

Sharpe Ratio Risk-Adjusted Return Calculator — Expected Portfolio Return → Annualized Sharpe Ratio
#Expected Portfolio Return (R_p (%))Annualized Sharpe Ratio (S)Δ %
01-2.175 -0.425 -177.27%
02-0.464474 -0.310965 -156.54%
031.2461 -0.19693 -135.81%
042.9566 -0.082895 -115.07%
054.6671 0.03114 -94.34%
066.3776 0.145175 -73.60%
078.0882 0.259211 -52.87%
089.7987 0.373246 -32.14%
0911.5092 0.487281 -11.40%
1012.45 Current0.55 0.00%
1114.9303 0.715351 +30.06%
1216.6408 0.829386 +50.80%
1318.3513 0.943421 +71.53%
1420.0618 1.0575 +92.26%
1521.7724 1.1715 +113.00%
1623.4829 1.2855 +133.73%
1725.1934 1.3996 +154.47%
1826.9039 1.5136 +175.20%
1928.6145 1.6276 +195.93%
2030.325 1.7417 +216.67%
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Frequently Asked Questions

How do I annualize a monthly Sharpe Ratio?+

Multiply the monthly Sharpe Ratio by √12 (≈ 3.4641) because return scales with T while standard deviation scales with √T.

How do I find the maximum volatility σ_p allowed to maintain a 1.0 Sharpe Ratio?+

Click SOLVE FOR on σ_p (%) and set S = 1.0 alongside your expected return R_p and risk-free rate R_f.

How does the Sortino Ratio differ from the Sharpe Ratio?+

The Sortino Ratio replaces total standard deviation σ_p in the denominator with downside deviation, so upside volatility is not penalized.