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fin.sharpe-sortino-ratio Calculator
Calculates Sharpe ratio, Sortino ratio, and Calmar ratio from portfolio return, volatility, maximum drawdown, and risk-free rate. The Calmar ratio (return / maximum drawdown) measures the return per unit of worst-case loss — the most intuitive risk metric for investors who fear drawdowns.
Inputs
Annual Return Pct
Reference formula or conversion factor shown for context.
Risk Free Rate 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%).
Annual Volatility Pct
Annualised standard deviation of returns, as a decimal (e.g. 0.2 for 20%). Higher volatility increases option value. Implied vol is derived from market prices.
Downside Deviation Pct
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
The proportional relationship between two quantities.
excess return
Sample size or count used in the calculation.
Sharpe interpretation
Qualitative summary of what the computed numbers mean in practical terms.
Sharpe = (R-Rf)/σ
Reference formula or conversion factor shown for context.