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Check out Investor Copilot custom GPT, which lets you enjoy ChatGPT functionality with recent financial information
Conversationally interact with ChatGPT to now analyze updated prices, technical indicators, financial statements, macro-economic/company news & more for Stocks, ETFs & Cryptos
Conversationally interact with ChatGPT to now analyze updated prices, technical indicators, financial statements, macro-economic/company news & more for Stocks, ETFs & Cryptos
Rolling Sharpe Ratio Calculator for your Portfolio
Data updated 2024-Jul-26 (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 24-month period with monthly portfolio returns. Use widget below chart to change to other rolling time period windows
Summary
Portfolio | $199,767.55 | As of | 2024-Jul-26 Friday |
---|---|---|---|
Timespan | 24-month | Returns | Monthly |
Risk-free Rate | 4.00% | Hurdle Rate | 10.00% |
Recent Sharpe | 1.09 | Median Sharpe | 0.63 |
Recent Sortino | 1.69 | Median Sortino | 0.54 |
Quick Interpretation
Monthly returns for the rolling 24-month time period were considered for this portfolio:
Most Recent Annualized Portfolio Sharpe ratio of 1.09 is considered okay given a risk-free rate of 4.00%
Median Annualized Portfolio Sharpe ratio of 0.63 is considered poor given a risk-free rate of 4.00%
Annualized Portfolio Sortino ratio of 1.69 is considered okay given a hurdle rate of 10.00%
Median Annualized Portfolio Sortino ratio of 0.54 is considered poor 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