Sharpe Ratio Calculator — 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
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.
- Excess return = 10% - 4.5% = 5.5%
- Sharpe ratio = 5.5% / 12% = 0.458
- This is a moderate risk-adjusted return
- For comparison, the S&P 500 has a long-run Sharpe near 0.4-0.5