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Rolling Sharpe Ratio Calculator for your Portfolio
Data updated 2024-Dec-20 (Friday)Quick Instructional video for this page. Collapse this after viewing by clicking How-to button above. Open in new tab
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
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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 | $254,493.03 | As of | 2024-Dec-20 Friday |
|---|---|---|---|
| Timespan | 60-day | Returns | Daily |
| Risk-free Rate | 4.00% | Hurdle Rate | 10.00% |
| Recent Sharpe | 3.27 | Median Sharpe | 1.98 |
| Recent Sortino | 5.76 | Median Sortino | 3.04 |
Quick Interpretation
Daily returns for the rolling 60-day time period were considered for this portfolio:
Most Recent Annualized Portfolio Sharpe ratio of 3.27 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 5.76 is considered good given a hurdle rate of 10.00%
Median Annualized Portfolio Sortino ratio of 3.04 is considered good given a hurdle rate of 10.00%
Related Resources for Portfolio
Performance & Drawdowns : Benchmark Portfolio performance & Drawdown analysis
Portfolio Seasonality : Absolute/Benchmarked performance through calendar months
Risk Reward Ratios : Evaluate Risk-Reward tradeoff with Sharpe & Sortino ratios Currently Viewing
Portfolio Alpha : Quantify portfolio outperformance with Jensen's Alpha
Portfolio Beta : Analyze portfolio volatility with Portfolio Beta
Correlation Matrix : Correlations between Portfolio constituents & find other uncorrelated/negatively correlated assets
Value At Risk : Historical distribution of daily Portfolio drawdowns
Dollar Cost Averaging : Dollar Cost Averaging (DCA) individual stocks in your portfolio
Portfolio Seasonality : Absolute/Benchmarked performance through calendar months
Risk Reward Ratios : Evaluate Risk-Reward tradeoff with Sharpe & Sortino ratios Currently Viewing
Portfolio Alpha : Quantify portfolio outperformance with Jensen's Alpha
Portfolio Beta : Analyze portfolio volatility with Portfolio Beta
Correlation Matrix : Correlations between Portfolio constituents & find other uncorrelated/negatively correlated assets
Value At Risk : Historical distribution of daily Portfolio drawdowns
Dollar Cost Averaging : Dollar Cost Averaging (DCA) individual stocks in your portfolio