Sharpe Ratio & Drawdown Calculator
Paste a series of periodic returns and get the risk stats that matter: mean, volatility, the periodic and annualised Sharpe ratio, and the maximum drawdown.
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How it works
The Sharpe ratio measures return per unit of risk: excess return (above the risk-free rate) divided by volatility. Higher is better. We compute the sample (n−1) standard deviation and annualise the Sharpe ratio by √(periods per year): so 12 for monthly data, 252 for daily.
Maximum drawdown is the largest peak-to-trough fall in cumulative value, a gut-check on the worst pain the strategy would have put you through.
Worked example
Monthly returns +10%, −5%, +10% (risk-free 0):
- Mean = 5%; volatility (sample) ≈ 8.66%.
- Sharpe per period = 0.05 / 0.0866 ≈ 0.577 → annualised ×√12 ≈ 2.0.
- Max drawdown = (1.10 − 1.045)/1.10 = 5%.
The formula
mean = average(returns) volatility = sample std-dev (n−1) Sharpe = (mean − risk_free) / volatility annualised = Sharpe × √(periods per year) max drawdown = max peak-to-trough fall of cumulative value
FAQ
- What format are the returns?
- Comma-separated percentages per period, e.g. "2, -3, 5". Use at least two.
- How is it annualised?
- The periodic Sharpe is multiplied by the square root of periods per year (12 monthly, 252 daily).
- Is this sample or population volatility?
- Sample standard deviation (n−1 denominator).
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