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Rolling Sharpe Ratio Calculator for your Portfolio

Data updated 2024-Dec-17 (Tuesday)
 


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Provide Stock/ETF/Cryptos & quantities to instantly analyze rolling Sharpe & Sortino ratios calculated using recent financial data. Sharpe Ratio measures risk to reward by comparing portfolio to a risk-free asset using recent historical performance whereas Sortino considers downside risk only & compares using a hurdle rate

Provided As-is for informational/educational purposes only and should not be construed as investment advice . Past performance may not be not indicative of future results. Always consult your Investment Adviser before any decision

Share       
Portfolio
  Symbol Units Name Holding Allocation
SPDR S&P 500 ETF $60,429.00 22.29%
Bitcoin USD $160,019.93 59.02%
Apple Inc. $50,696.00 18.70%
Alter stock/etf symbol & quantity above as desired. Use AutoComplete functionality to ensure correct ticker symbol used for which data is available

Results Below
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  Sharpe & Sortino ratios calculated using a rolling 60-day period with daily portfolio returns. Use widget below chart to change to other rolling time period windows


Summary
  Portfolio $271,144.93   As of 2024-Dec-17 Tuesday
  Timespan 60-day   Returns Daily
  Risk-free Rate 4.00%   Hurdle Rate 10.00%
  Recent Sharpe 4.59   Median Sharpe 1.98
  Recent Sortino 9.42   Median Sortino 3.03
  Key Ratios & Settings

Quick Interpretation

Daily returns for the rolling 60-day time period were considered for this portfolio:
Most Recent Annualized Portfolio Sharpe ratio of 4.59 is considered excellent given a risk-free rate of 4.00%
Median Annualized Portfolio Sharpe ratio of 1.98 is considered okay given a risk-free rate of 4.00%
Annualized Portfolio Sortino ratio of 9.42 is considered good given a hurdle rate of 10.00%
Median Annualized Portfolio Sortino ratio of 3.03 is considered good given a hurdle rate of 10.00%

Interpretation for Sharpe Ratio & Sortino is a starting-point and does NOT account for other important factors such as the distribution of returns etc. Red represents undesirable range and Green represents desirable values in gauges

Related Resources for Portfolio
  : Benchmark Portfolio performance & Drawdown analysis
  : Absolute/Benchmarked performance through calendar months
  : Evaluate Risk-Reward tradeoff with Sharpe & Sortino ratios Currently Viewing
  : Quantify portfolio outperformance with Jensen's Alpha
  : Analyze portfolio volatility with Portfolio Beta
  : Correlations between Portfolio constituents & find other uncorrelated/negatively correlated assets
  : Historical distribution of daily Portfolio drawdowns
  : Dollar Cost Averaging (DCA) individual stocks in your portfolio
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