
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 2025-Feb-14 (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
Share
Sharpe & Sortino ratios calculated using a rolling 52-week period with weekly portfolio returns. Use widget below chart to change to other rolling time period windows
Summary
Portfolio | $255,581.25 | As of | 2025-Feb-16 Sunday |
---|---|---|---|
Timespan | 52-week | Returns | Weekly |
Risk-free Rate | 4.00% | Hurdle Rate | 10.00% |
Recent Sharpe | 1.64 | Median Sharpe | 1.68 |
Recent Sortino | 2.47 | Median Sortino | 2.36 |
Quick Interpretation
Weekly returns for the rolling 52-week time period were considered for this portfolio:
Most Recent Annualized Portfolio Sharpe ratio of 1.64 is considered okay given a risk-free rate of 4.00%
Median Annualized Portfolio Sharpe ratio of 1.68 is considered okay given a risk-free rate of 4.00%
Annualized Portfolio Sortino ratio of 2.47 is considered good given a hurdle rate of 10.00%
Median Annualized Portfolio Sortino ratio of 2.36 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