:: Subscribe to our newsletter
 
Articles / Directory
06/17/2013
Latest version of TraderCode(v5.6) includes new Technical Analysis indicators, Point-and-Figure Charting and Strategy Backtesting.



06/17/2013
InvestmentCode, a comprehensive suite of
Financial calculators and models for Excel is now available.



09/01/2009
Launch of
Free Investment and Financial Calculator for Excel.



09/08/2007
Launch of
TinyGraphs - open source add-in for creating sparklines and tiny charts in Excel.



1/02/2009
Launch of NeuralCode(v1.0) for
Neural Networks Trading.



Sharpe Ratio

The Sharpe Ratio, invented by William Forsyth Sharpe is also known as the Sharpe Performance Index. It is a measure of reward (or excess return) per unit of risk.

Sharpe Ratio = (Average Returns of Portfolio - Average Risk Free Rate) / Standard Deviation

The formula uses standard deviation as the unit of risk. Reward (or excess returns) is measured as the difference between the portfolio's return and the risk-free rate of return over a period. The higher the Sharpe Ratio, the better the portfolio's performance. It is important to know that a portfolio can achieve higher returns by taking on additional risks. The Sharpe's Ratio allows us to determine whether the higher returns come from better performance or from additional risks.

The Sharpe Ratio is quite similar to the Treynor Performance Index in the sense that it measures excess return per unit of risk. The difference is in the definition of risk. Treynor Performance Index uses Beta while Sharpe Ratio uses Standard Deviation. The Treynor Performance Index is suitable for investors who have diversified across funds while the Sharpe Ratio is suitable for investors who put their money in only one or two funds.



Sharpe Ratio Spreadsheet

SharpeRatio Worksheet

This worksheet first calculates the Average Annual Returns of a portfolio and the Standard Deviation based on the Portfolio Returns over a 5 year period. It can be easily expanded to 10 year period if required. The following formula is then applied

Sharpe Ratio = (Average Returns of Portfolio - Average Risk Free Rate) / Standard Deviation



SharpeMultiplePortfolios Worksheet

The SharpeMultiplePortfolios worksheet calculates the Sharpe Ratio for up to 5 portfolios.



Inputs

  • Rp - Average rate of return for a portfolio during a period
  • Rf - Average rate of return on a risk free investment during a period
  • sd - Standard deviation of the rate of return for the portfolio during a period
Outputs

  • S - Porfolio's risk premium return earned per unit of total risk

Download Free Sharpe Ratio spreadsheet - v1.0

System Requirements

Microsoft® Windows XP®, Microsoft® Windows Vista®, Windows 7 or Windows 8
Windows Server 2003, 2008, 2012
512 MB RAM
5 MB of Hard Disk space
Excel 2002, 2003, XP, 2007, 2010, 2013

License

By downloading this software from our web site, you agree to the terms of our license agreement.

Download

FreeSharpeRatio.zip (Zip Format - 91 KB)

Get the Professional version

Benefits
  • Unlocked
  • Allows removal of copyright message in the template
  • Allows commercial use within the company
  • Allows customization of the model
  • Full source code
Limited Time Bonus
  • Portfolio Risk, Jensen Alpha and Treynor Index
PDF Specifications Commercial license

Price

USD10.00 - Purchase








 

Copyright (c) 2007-2014, ConnectCode Pte Ltd. All Rights Reserved.


Trademark Acknowledgements

Microsoft and Microsoft Excel are registered trademarks of Microsoft Corporation. Avery is the trademark of Avery Dennison Corporation. All other product names are trademarks, registered trademarks, or service marks of their respective owners