夏普比率计算器

计算投资组合的夏普比率，衡量每单位风险所获得的超额回报，评估投资策略的风险调整后绩效表现。

Average Annual Return

Risk-Free Rate (Treasury)

Annual Volatility (Std Dev)

Sharpe Ratio

0.458

Excess Return5.50 %

Reward-to-Variability46 bp per %

Sharpe Ratio vs Average Annual Return

查看公式 →

公式

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:

Rp = Portfolio return

Rf = Risk-free rate (typically T-bill yield)

Std Dev = Standard deviation of portfolio returns

Interpreting Results

The higher the Sharpe ratio, the better the risk-adjusted performance. Use it to compare investments, not in isolation.

Limitations

Assumes returns are normally distributed

Does not distinguish between upside and downside volatility

Sensitive to the time period chosen

计算示例

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

常见问题

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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