Risk-Adjusted Return Calculator
Measure investment performance relative to the risk taken using the Sharpe and Sortino ratios.
Sharpe Ratio
0.53
Sharpe Ratio vs Risk-Free Rate
सूत्र
## Risk-Adjusted Performance Raw returns do not tell the full story. A 15% return with 30% volatility may be worse than 10% with 10% volatility. ### Sharpe Ratio **Sharpe = (Portfolio Return - Risk-Free Rate) / Standard Deviation** | Sharpe | Interpretation | |---|---| | < 0 | Below risk-free, poor | | 0 - 1 | Mediocre risk-adjusted | | 1 - 2 | Good | | > 2 | Excellent | ### Sortino Ratio **Sortino = (Portfolio Return - Risk-Free Rate) / Downside Deviation** The Sortino ratio only penalizes downside volatility, which is more relevant since investors do not mind upside surprises.
हल किया गया उदाहरण
12% return, 4% risk-free rate, 15% volatility, 10% downside deviation.
- 01Excess return = 12% - 4% = 8%
- 02Sharpe ratio = 8% / 15% = 0.53
- 03Sortino ratio = 8% / 10% = 0.80
- 04The Sortino is higher because downside deviation < total volatility
अक्सर पूछे जाने वाले प्रश्न
What is a good Sharpe ratio?
A Sharpe ratio above 1.0 is considered good, above 2.0 is very good, and above 3.0 is excellent. Most diversified portfolios have Sharpe ratios between 0.4 and 1.0. The S&P 500 long-term Sharpe is about 0.4-0.5.
Which is better: Sharpe or Sortino?
The Sortino ratio is generally more informative because it only penalizes harmful volatility (downside). The Sharpe ratio treats upside and downside volatility equally, which unfairly penalizes investments with large positive moves.
Can I compare different investments with these ratios?
Yes, that is their primary purpose. When comparing two investments, the one with the higher Sharpe or Sortino ratio delivered better returns per unit of risk, regardless of absolute return levels.
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