Calculate Sharpe, Sortino, and Treynor ratios from portfolio returns with risk-free rate adjustment and rolling period charts.
A 15% return sounds impressive until you see the 30% drawdown that produced it. This ratio calculator separates the two questions - how much a portfolio earned and how much risk it carried - by computing Sharpe, Sortino, and Treynor ratios from a return history, subtracting the risk-free rate you enter, and charting each ratio over rolling windows. The common surprise: these numbers only mean something in comparison. A Sharpe of 1.0 says nothing by itself; it says something only next to another fund's Sharpe, computed the same way.
Both Sharpe and Sortino start from the same number: average return across the periods you enter, minus the risk-free rate you supply. Sharpe divides by the standard deviation of returns, so large swings in either direction reduce it. Sortino divides by downside deviation instead - volatility measured from the losing periods only - so profitable months never penalize it. Match the risk-free rate's period length to your returns, or every result shifts.
Treynor is the only ratio needing a second series: it divides mean excess return by beta, estimated from how your portfolio's returns move with a benchmark you provide, so the result depends on which benchmark you pick. The rolling charts recompute the selected ratio over a trailing window that slides forward through your data, showing whether a strong full-sample number reflects consistent behavior or one favorable stretch.
Use a short-term government yield that matches your return frequency: a monthly rate for monthly returns, an annual rate for annual returns. Consistency matters more than precision - as long as every comparison uses the same rate, rankings stay valid even though the absolute values shift. The rate enters the numerator of all three ratios, so they all move together when you change it.
Usually because Sortino ignores upside volatility: a portfolio with steady gains and rare losses can show a Sortino several times its Sharpe, and that gap is the point of the measure. If the value is enormous or absent, check your data - with no losing periods, downside deviation is zero and the ratio is not defined rather than impressive.
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