Performance vs Risk Analyzer (Sharpe Ratio)

Inserisci i rendimenti del portafoglio

Scrivi i rendimenti percentuali separati da virgole (es. 3.2, 4.5, -1.0, 2.8)


Inserisci i rendimenti e il tasso privo di rischio per analizzare il rapporto rendimento/rischio.

Performance vs Risk Analyzer – Sharpe Ratio

The Performance vs Risk Analyzer app calculates the Sharpe Ratio, one of the most widely used metrics in finance for evaluating the efficiency of an investment based on the ratio of return to the risk taken.
It is a useful tool for investors, financial advisors, and portfolio analysts who wish to compare investment strategies objectively.

What is the Sharpe Ratio

The Sharpe Ratio measures the excess return relative to the risk-free rate, adjusted for the overall volatility of the investment (the standard deviation of returns).
Formula used: Sharpe=Rm−RfσSharpe = frac{R_m – R_f}{sigma}Sharpe=σRm​−Rf​​

where:

  • Rₘ = average portfolio return;
  • R_f = risk-free rate;
  • σ = standard deviation of returns.

How the App Works

The user inputs a series of percentage returns (both positive and negative) and the risk-free rate.
The app automatically calculates:

  • The average return;
  • The standard deviation (risk);
  • The Sharpe ratio;
  • A textual interpretation of the result, indicating whether the investment is efficient or risky relative to the return achieved.

Interpreting the Results

The most common benchmarks are:

  • < 0 → Return lower than the risk-free rate (not favorable);
  • 0 – 0.5 → Low efficiency;
  • 0.5 – 1.0 → Moderate;
  • 1.0 – 2.0 → Good;
  • > 2.0 → Excellent risk/return ratio.

The app automatically displays the result in color to ease reading (red = negative, green = good, blue = excellent).

Additional Features

  • Free input of percentage returns, including negative ones;
  • Configurable risk-free rate;
  • Instantaneous calculation with automatic interpretation and legend;
  • A copy results button for the clipboard;

Warnings

The Sharpe Ratio provides a synthesized statistical evaluation and does not replace a comprehensive risk analysis.
For more accurate comparisons, it is recommended to use it alongside other indicators such as Sortino Ratio, Treynor Ratio, or Information Ratio, especially for asymmetric portfolios or with extreme returns.