A Sharpe ratio calculator for funds, stocks and portfolios
Two funds with the same return are not equally good if one got there with twice the swings. The Sharpe ratio measures return per unit of risk: the return above a risk-free rate divided by the volatility of returns. This Sharpe ratio calculator works it out from a series you paste — daily closing prices, a mutual fund’s monthly NAVs, or a list of returns — and adds the Sortino ratio, annualised return and volatility, and the drawdown figures that show how painful the ride was.
Paste values one per line or straight from a spreadsheet (date and value columns work, a header row is skipped), or load a CSV. Choose the frequency so the ratios are annualised correctly, and set the risk-free rate — in India a 91-day treasury bill yield, in the US a 3-month T-bill. The growth and under-water charts and the table of the largest drawdowns show when the losses happened and how long recovery took. Nothing is uploaded; it all runs in your browser.
How to use the Sharpe Ratio & Drawdown Calculator
- Choose whether your data is Prices / NAVs or Returns (%).
- Paste the series, oldest first — or load a CSV or text file.
- Set the data frequency (daily, weekly, monthly…) and the yearly risk-free rate.
- Choose the Sortino target: the risk-free rate or zero.
- Read the Sharpe and Sortino ratios, volatility, CAGR and drawdowns, check the charts, and copy the summary.
Sharpe Ratio & Drawdown Calculator features
Sharpe and Sortino
Annualised from any frequency, with the Sortino ratio counting only downside volatility.
Maximum drawdown
The deepest fall from a peak, its dates, recovery and the longest time under water, plus the Calmar ratio.
Paste from anywhere
One value per line, comma-separated on one line, or date/value columns from Excel or Google Sheets.
Growth and under-water charts
See the path, not just the summary numbers.
Transparent maths
The per-period risk-free rate, the per-period Sharpe and the annualisation step are all shown.
Formulas
- Sharpe ratio (William F. Sharpe, 1966; revised definition in “The Sharpe Ratio”, Journal of Portfolio Management, 1994) = mean of (return − risk-free) ÷ standard deviation of (return − risk-free), using the sample standard deviation, then × √N to annualise (N = 252 trading days, 52 weeks, 12 months…).
- Sortino ratio (Sortino and Price, 1994) = (mean return − target) ÷ downside deviation, where downside deviation = √(Σ min(0, return − target)² ÷ n), × √N.
- Annualised return = (final value ÷ first value)^(N ÷ number of returns) − 1; volatility = standard deviation × √N.
- Maximum drawdown = the largest percentage fall from a running peak; Calmar ratio = annualised return ÷ |maximum drawdown|.
- The risk-free rate is converted to a per-period rate by compounding: (1 + yearly rate)^(1 ÷ N) − 1.
Worked example and how to read the results
The sample is a made-up fund whose NAV rose from 100 to 126.8 over 24 months: a CAGR of 12.61%. Its worst stretch ran from May 2024 (107.2) to August 2024 (99.8), a maximum drawdown of −6.90%, regained by November 2024. With a 6% risk-free rate the annualised Sharpe ratio comes out at about 0.8: the return above the risk-free rate is a little smaller than the volatility.
As rough rules of thumb, a Sharpe ratio above 1 is considered good and above 2 very good, but only when comparing like with like: the same period, the same frequency and the same risk-free rate. Fund factsheets in India often quote Sharpe ratios from three years of returns. Long-run returns themselves are better measured with the CAGR calculator or, for SIPs, the XIRR calculator.
Limits
- Annualising with √N assumes returns are independent from one period to the next. Smoothed or illiquid assets break that assumption and look less risky than they are (Andrew Lo, “The Statistics of Sharpe Ratios”, 2002).
- Standard deviation treats a sharp rise as “risk” just like a sharp fall — that is what the Sortino ratio corrects.
- Short series give unstable ratios; prefer 36 monthly returns or more.
Sharpe Ratio & Drawdown Calculator FAQ
How do you calculate the Sharpe ratio?
Subtract the risk-free rate from each period’s return, divide the average of those excess returns by their standard deviation, and multiply by the square root of the number of periods in a year. The Sharpe ratio calculator does this from pasted prices or returns.
How do I calculate the Sharpe ratio of a mutual fund?
Download the fund’s NAV history (monthly is enough), paste date and NAV columns, choose Monthly and enter the risk-free rate. Use the same period when comparing two funds.
What is a good Sharpe ratio?
Above 1 is usually called good, above 2 very good, below 0 means the investment did worse than the risk-free rate. Compare funds only over the same period.
What is maximum drawdown?
The biggest percentage fall from a peak to a later low before a new peak. A fall from 107.2 to 99.8 is a drawdown of 6.9%.
What is the difference between the Sharpe and Sortino ratios?
Sharpe divides by total volatility; Sortino divides only by downside deviation, so funds with big upside jumps are not penalised.
Is a high Sharpe ratio a reason to invest?
No. It describes past returns only and can change quickly. This page gives calculations only, not investment advice.