Sharpe, Sortino and Calmar ratio calculator
“Given a series of period returns, how much return is being earned per unit of risk — measured three different ways?”
Three ratios, three definitions of risk. Sharpe divides excess return by all volatility. Sortino divides it by downside volatility only. Calmar divides annual growth by the worst drawdown. Paste a series of returns and the calculator reports all three, annualised, alongside the equity curve they came from.
Free to use, nothing to sign up for, and nothing you type here is sent anywhere — the arithmetic runs in your browser.
What it computes
mean, sample std dev (n-1) downside deviation = RMS of shortfalls below the MAR, over ALL periods Sharpe = (mean - rf) / std dev annual = x SQRT(periods per year) Sortino = (mean - rf) / downside deviation annual = x SQRT(periods per year) equity curve -> max drawdown, total return, CAGR Calmar = CAGR / max drawdown
What you type in
| Field | What it means | Example |
|---|---|---|
| Returns | One percentage per period, pasted or typed — monthly, for example. | 12 months |
| Risk-free / MAR % | The per-period benchmark returns are measured against. | 0 |
| Periods per year | 12 for monthly, 252 for daily, 4 for quarterly. Drives annualisation. | 12 |
Reading the result
- Sharpe and Sortino, per period and annualised.
- Total return, CAGR, max drawdown and Calmar from the equity curve the returns imply.
- Best and worst period, and the share of periods that were positive.
Worked example
Twelve monthly returns: 3.2, -1.8, 4.1, 2.5, -3.4, 5.2, 1.1, -0.7, 2.8, 3.9, -2.2, 4.5
- Mean +1.60% per month, standard deviation 2.93%, downside deviation 1.30%
- Sharpe 0.55 per month, 1.89 annualised
- Sortino 1.24 per month, 4.28 annualised
- Total return +20.4%, max drawdown 3.4%, Calmar 6.01
Sortino is far higher than Sharpe here because most of this sample's volatility is upside — which is the difference between the two ratios in one number. Sharpe penalises all volatility; Sortino penalises only the shortfalls.
What trips people up
- Annualising multiplies by the square root of the period count, and it assumes the periods are independent. Annualised figures from a handful of months are noisy.
- Sortino is infinite when no period fell below the MAR. The tool shows that honestly rather than inventing a number.
- Twelve data points is a small sample for any of these ratios.
Questions
- What is a good Sharpe ratio?
- It depends entirely on the period length, the sample size and what is being measured — an annualised figure from twelve months carries a wide error bar. The calculator reports the number; it makes no claim about what any level implies.
- Sharpe or Sortino?
- They measure different things. Sharpe treats a large up month as risk; Sortino does not. Where the return distribution is skewed, the two can disagree substantially, and seeing both is the point of showing them together.
Related calculators
These are the same calculators built into Ledger of Alpha, where they read your own trade history instead of numbers you re-type. See the full product
Keep the record these numbers come from
A free account logs the trades you size here, so the win rate and averages you type into these calculators come from your own history rather than a guess.