Quantora · Free calculator
Sharpe Ratio Calculator
Measure risk-adjusted return from a series of returns - the Sharpe ratio, plus the Sortino ratio, annualized volatility and maximum drawdown.
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How it works
The Sharpe ratio divides excess return by total volatility - return per unit of risk. The Sortino ratio only penalizes downside volatility. Max drawdown is the worst peak-to-trough fall. Higher Sharpe and Sortino, and a shallower drawdown, mean better risk-adjusted performance.
Sharpe = (mean(r) - rf) / sigma(r) . sqrt(P)
Sortino = (mean(r) - MAR) / downside_sigma . sqrt(P)
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This uses the same verified engine that powers the Quantora terminal. Open the terminal to run it on live market data, with charts and 95 other engines.
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