Calculate the Sharpe Ratio for an Investment Portfolio

period # Period S&P 500 Portfolio

1 Jan-07 1.41% 1.00%
2 Feb-07 -2.18% -0.20%
3 Mar-07 1.00% 2.50%
4 Apr-07 4.33% 3.30%
5 May-07 3.26% 1.20%
6 Jun-07 -1.78% -0.50%
7 Jul-07 -3.20% -1.50%
8 Aug-07 1.29% 1.80%
9 Sep-07 3.58% 3.20%
10 Oct-07 1.48% -0.50%
11 Nov-07 -4.40% -0.30%
12 Dec-07 -0.86% -2.50%
Mean Monthly Return 0.33% 0.63%
Standard Deviation 2.80% 1.85%
Compound Monthly Return 0.29% 0.61%

Annualized Return 3.93% 7.50%

Annualized SD 9.69% 6.40%
Excess Return (RFR) 0.63% 4.20%

Excess Return = Annualized Return - Risk-Free Return

Sharpe Ration = (Excess Return)/(Annualized SD of Returns)
Calculation Parameters Enter your data in red cells
Risk Free Rate 3.30%
Minimum Acceptable Return 0.50%

Post-Modern Portfolio Theory

Risk-Return Analysis S&P 500 Portfolio
Sharpe Ratio 0.06 0.66
Downside Deviation (MAR) 2.08% 1.16%
Downside Deviation (RFR) 3.99% 3.21%
Downside Deviation (0%) 1.79% 0.87%
Sortino Ratio (MAR) -0.10 0.09
Sortino Ratio (RFR) -0.75 -0.84
Sortino Ratio (0%) 0.16 0.70

Regression Analysis
Portfolio Beta (relative to S&P 500) 0.49
Portfolio Alpha (relative to S&P 500) 0.46%
Portfolio Correlation to S&P 500 0.74
Coefficient of Determination 0.25
Manipulation Area S&P 500 Portfolio
Period Return Multiple Return Multiple
Jan-07 1.01 1.01
Feb-07 0.98 1.00
Mar-07 1.01 1.03
Apr-07 1.04 1.03
May-07 1.03 1.01
Jun-07 0.98 1.00
Jul-07 0.97 0.99
Aug-07 1.01 1.02
Sep-07 1.04 1.03
Oct-07 1.01 1.00
Nov-07 0.96 1.00
Dec-07 0.99 0.98
Total Return Multiple 1.04 1.08
Total Return 3.55% 7.56%
 S&P 500 Portfolio S&P 500 Portfolio
Loss Deviation (MAR) Loss Deviation (MAR) Loss Deviation (RFR) Loss Deviation (RFR)
0.00% 0.00% -1.89% -2.30%
-2.68% -0.70% -5.48% -3.50%
0.00% 0.00% -2.30% -0.80%
0.00% 0.00% 0.00% 0.00%
0.00% 0.00% -0.04% -2.10%
-2.28% -1.00% -5.08% -3.80%
-3.70% -2.00% -6.50% -4.80%
0.00% 0.00% -2.01% -1.50%
0.00% 0.00% 0.00% -0.10%
0.00% -1.00% -1.82% -3.80%
-4.90% -0.80% -7.70% -3.60%
-1.36% -3.00% -4.16% -5.80%
 S&P 500 Portfolio S&P 500 Portfolio
Loss Deviation (0%) Loss Deviation (0%) Deviation from Mean Deviation from Mean
0.00% 0.00% 1.08% 0.38%
-2.18% -0.20% -2.51% -0.83%
0.00% 0.00% 0.67% 1.88%
0.00% 0.00% 4.00% 2.68%
0.00% 0.00% 2.93% 0.58%
-1.78% -0.50% -2.11% -1.13%
-3.20% -1.50% -3.53% -2.13%
0.00% 0.00% 0.96% 1.18%
0.00% 0.00% 3.25% 2.58%
0.00% -0.50% 1.15% -1.13%
-4.40% -0.30% -4.73% -0.93%
-0.86% -2.50% -1.19% -3.13%
Product Yi Yi-MRD
0.004060236840807090% 0.96% 0.33%
0.020684978950224400% 0.37% -0.26%
0.012576099438393700% 1.69% 1.07%
0.107048100110089000% 2.09% 1.46%
0.016863196489237500% 1.05% 0.43%
0.023725137924613300% 0.22% -0.41%
0.074916043768103400% -0.27% -0.90%
0.011312075434528900% 1.35% 0.72%
0.083757792973542000% 2.04% 1.41%
-0.012968210522421300% 0.22% -0.41%
0.043727249126009200% 0.32% -0.31%
0.037102192993274300% -0.77% -1.39%
B2: Enter your desired periods here

C2: Enter benchmark return for the periods

D2: Enter portfolio return for the periods

F9: MAR = Minimum Acceptable Return

F10: RFR = Risk-free Rate