Calculadora de Retorno Ajustado ao Risco
Calcule o índice de Sharpe e outros indicadores ajustados ao risco.
Sharpe Ratio
0.53
Sharpe Ratio vs Risk-Free Rate
Formula
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
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.
Exemplo Resolvido
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
Perguntas Frequentes
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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