// multi-utility computation suite · offline · instant · precise
┌──────────────────────────┐
│ [c] calcalyst_ │
│ computation suite │
└──────────────────────────┘
// select a module to initialize
/ search↵ open firstesc close
// adsenseEMPTY_LEADER_SLOT728×90
// adsenseMOBILE_ANCHOR_SLOT320×50
// keyboard_shortcuts
/focus search
↑↓navigate module list
Enter
open first result from search
open highlighted
compute when module is open
compute when focused in a field
Escclose module · clear selection
⌫
fin.sharpe-ratio-portfolio Calculator
Calculates Sharpe ratio and Sortino ratio from return, risk-free rate, standard deviation, and downside deviation. The Sortino ratio penalises only downside volatility — it's preferred over Sharpe for strategies with positively skewed returns.
Inputs
Portfolio Return Pct
Reference formula or conversion factor shown for context.
Risk Free Pct
Return on a theoretically safe investment like a government T-bill. The baseline return everything else is compared against. Enter as a decimal (e.g. 0.05 for 5%).
Portfolio Std
Reference formula or conversion factor shown for context.
Results
Sharpe ratio
Risk-adjusted return: (portfolio return − risk-free rate) / standard deviation. Above 1: good. Above 2: very good. Above 3: excellent. Below 0: worse than the risk-free rate.
Sortino ratio (approx)
The proportional relationship between two quantities.
excess return
Sample size or count used in the calculation.
volatility (std dev)
Standard deviation -- the average spread of values around the mean. In a normal distribution: 68% within 1 SD, 95% within 2 SD.
Sharpe interpretation
Qualitative summary of what the computed numbers mean in practical terms.
Sharpe = (Rp - Rf) / σp
Reference formula or conversion factor shown for context.