Performance
Return per unit of volatility, and what the ratio does not tell you.
Return per unit of volatility, and what the ratio does not tell you. The page states the equation, the units it expects and the rounding it applies, so the result can be reproduced by hand.
A calculator gives you a number. This one feeds the next: account to risk, risk to position size, position size to the trade, and the trade to expectancy, drawdown and risk of ruin.
See the performance tools →Sharpe penalises upside volatility exactly as much as downside. Sortino uses only the downside, which is why it is usually the higher of the two.
An 18% return, a 4% risk-free rate, 22% volatility and 14% downside deviation:
A Sharpe of 0.64 is ordinary; above 1.0 is good and above 2.0 is rare enough to warrant checking the inputs.
Above 1.0 is good, above 2.0 is exceptional and worth double-checking. Below 0.5 means the returns are not compensating for the volatility taken.
Because upside volatility is not a risk. Sortino divides only by downside deviation, so a strategy with large winners is not penalised for them.
Easily. Selling options collects small steady premiums and reports a high Sharpe right up to the tail event, because the risk lives in a distribution Sharpe assumes away.
A calculator answers one question and raises the next. These are the ones this figure feeds into.
Historical and annualised volatility from a price series.
Peak-to-trough decline, and the gain required to climb back out of it.
How a fixed monthly return compounds an account balance over time.
Sharpe Ratio Calculator · rounding shown to the precision displayed