⚖️ Risk-Adjusted Performance

Sharpe and Sortino ratios from a return series.

What it does

Computes average return, volatility, and the Sharpe and Sortino ratios from a series of periodic returns, so you can judge risk-adjusted performance.

When to use it

Use it to compare two funds or strategies on an equal footing — higher return is only 'better' if it isn't bought with disproportionate risk.

Assumptions
  • Returns are entered as percentages per period (monthly or annual).
  • Sharpe uses total volatility; Sortino uses only downside volatility.
  • More periods give a more reliable estimate.
Inputs
One return per line (percentages).
%
Pro tip

Prefer the fund with the better Sharpe/Sortino over the one with the higher raw return when you will hold through volatility. A Sharpe above 1 is good and above 2 is strong. Sortino is the better gauge for strategies that aim to cut downside.