Rolling Sharpe Ratio Calculator for your Portfolio

Data updated 2023-Sep-22 (Friday)

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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

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Portfolio

	Name	Holding	Allocation
Remove	SPDR S&P 500 ETF	$43,042.00	36.54%
Remove	Bitcoin USD	$39,806.31	33.79%
Remove	Apple Inc.	$34,958.00	29.67%
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Alter stock/etf symbol & quantity above as desired. Use AutoComplete functionality to ensure correct ticker symbol used for which data is available

Annualized Risk-free Rate

Annualized Hurdle (Minimum Acceptable) Rate

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Sharpe & Sortino ratios calculated using a rolling 24-month period with monthly portfolio returns. Use widget below chart to change to other rolling time period windows

Returns Daily Weekly Monthly

Summary

Portfolio	$117,806.31	As of	2023-Sep-22 Friday
Timespan	24-month	Returns	Monthly
Risk-free Rate	4.00%	Hurdle Rate	10.00%
Recent Sharpe	-0.16	Median Sharpe	0.62
Recent Sortino	-0.47	Median Sortino	0.5

Key Ratios & Settings

Quick Interpretation

Monthly returns for the rolling 24-month time period were considered for this portfolio:
Most Recent Annualized Portfolio Sharpe ratio of -0.16 is considered poor given a risk-free rate of 4.00%
Median Annualized Portfolio Sharpe ratio of 0.62 is considered poor given a risk-free rate of 4.00%
Annualized Portfolio Sortino ratio of -0.47 is considered poor given a hurdle rate of 10.00%
Median Annualized Portfolio Sortino ratio of 0.50 is considered poor 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

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

Analyze Portfolios instantly with the available tools

Symbol	Special	Category
$SPY	$market, $sp500	index
$IWM	$russell2000	index
$IWB	$russell1000	index
$XLC	$communication	sector
$XLY	$discretionary	sector
$XLP	$staples	sector
$XLE	$energy	sector
$XLF	$financials	sector
$XLV	$healthcare	sector
$XLK	$technology	sector
$XLI	$industriaks	sector
$XLB	$materials	sector
$XLRE	$realestate	sector
$XLU	$utilties	sector
$FXI	$china	region
$INDA	$india	region
$EWZ	$brazil	region
$EWC	$canada	region
$EWG	$germany	region
$EWJ	$japan	region
$EWW	$mexico	region
$EZA	$southafrica	region
$EWY	$korea	region
$EEM	$emerging	region
$EZU	$europe	region
$GLD	$gold	benchmarks
$SLV	$silver	benchmarks
$HYG	$highyield	benchmarks
$TLT	$treasuries	benchmarks
$VIG	$dividendgrowth	strategies
$VUG	$growth	strategies
$HDV	$highdividend	strategies
$MTUM	$momentum	strategies
$VTV	$value	strategies
$KBE	$banks	themes
$IBB	$biotech	themes
$ITB	$homebuilders	themes
$IPO	$ipos	themes
$VV	$largecap	themes
$VUG	$largecapgrowth	themes
$VTV	$largecapvalue	themes
$VO	$midcap	themes
$IWP	$midcapgrowth	themes
$IWS	$midcapvalue	themes
$VB	$smallcap	themes
$VBK	$smallcapgrowth	themes
$VBR	$smallcapvalue	themes
$BTCUSD	$btc	crypto
$ETHUSD	$eth	crypto
$ADAUSD	$cardano	crypto
$DOGEUSD	$doge	crypto
$LTCUSD	$litecoin	crypto
$XRPUSD	$ripple	crypto
$USDTUSD	$tether	crypto