Calculateur du Ratio de Sharpe Gratuit
Calculez le ratio de Sharpe pour évaluer la performance ajustée au risque. Comparez le rendement excédentaire à la volatilité.
Sharpe Ratio
0.458
Sharpe Ratio vs Average Annual Return
Formule
The Sharpe Ratio
Developed by Nobel laureate William Sharpe, this ratio measures the excess return per unit of total risk.
Formula
Sharpe Ratio = (Rp - Rf) / Std Dev
Where:
Interpreting Results
The higher the Sharpe ratio, the better the risk-adjusted performance. Use it to compare investments, not in isolation.
Limitations
Exemple Résolu
10% average return, 4.5% risk-free rate, 12% volatility.
- 01Excess return = 10% - 4.5% = 5.5%
- 02Sharpe ratio = 5.5% / 12% = 0.458
- 03This is a moderate risk-adjusted return
- 04For comparison, the S&P 500 has a long-run Sharpe near 0.4-0.5
Questions Fréquentes
What risk-free rate should I use?
Use the yield on a 3-month US Treasury bill for short-term analysis, or the 10-year Treasury yield for long-term comparisons. The risk-free rate should match the investment period being evaluated.
Can the Sharpe ratio be negative?
Yes. A negative Sharpe ratio means the investment returned less than the risk-free rate. You would have been better off in Treasury bills with less risk.
How do I calculate standard deviation?
Standard deviation measures the spread of returns around the average. Most brokerage and financial data sites report it. For a fund, check the fund fact sheet or Morningstar page for trailing volatility figures.
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