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% STDEV
Compound Monthly Return 0.29% 0.61%

Annualized Return 3.93% 7.50%

Annualized SD 9.69% 6.40% SQRT(12)
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
Regression Analysis
Portfolio Beta (relative to S&P 500) 0.49 SUMSQ
Portfolio Alpha (relative to S&P 500) 0.46%
Portfolio Correlation to S&P 500 0.74 CORREL
Coefficient of Determination 0.25 SUMSQ
Covarinace 0.00035
Variance 0.00035

ReturnP 11.80
RiskF 2.72
SD 17.80
Sharpe 0.51
Excess Ret 9.08

0.51
Manipulation Area S&P 500 Portfolio S&P 500 Portfolio
Period Return Multiple Return Multiple Deviation from Mean Deviation from Mean
Jan-07 1.01 1.01 1.08% 0.38%
Feb-07 0.98 1.00 -2.51% -0.83%
Mar-07 1.01 1.03 0.67% 1.88%
Apr-07 1.04 1.03 4.00% 2.68%
May-07 1.03 1.01 2.93% 0.58%
Jun-07 0.98 1.00 -2.11% -1.13%
Jul-07 0.97 0.99 -3.53% -2.13%
Aug-07 1.01 1.02 0.96% 1.18%
Sep-07 1.04 1.03 3.25% 2.58%
Oct-07 1.01 1.00 1.15% -1.13%
Nov-07 0.96 1.00 -4.73% -0.93%
Dec-07 0.99 0.98 -1.19% -3.13%
Total Return Multiple 1.04 1.08
Total Return 3.55% 7.56%

16.06%
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

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

Annualized Return 3.93% 7.50%

Annualized SD 9.69% 6.40%
Excess Return (RFR) 0.63% 4.20%
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
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
Manipulation Ar S&P 500 Portfolio S&P 500 Portfolio
Period Return Multiple Return Multiple Deviation from D
Meviation from Mean
Jan-07 1.01 1.01 1.08% 0.38%
Feb-07 0.98 1.00 -2.51% -0.83%
Mar-07 1.01 1.03 0.67% 1.88%
Apr-07 1.04 1.03 4.00% 2.68%
May-07 1.03 1.01 2.93% 0.58%
Jun-07 0.98 1.00 -2.11% -1.13%
Jul-07 0.97 0.99 -3.53% -2.13%
Aug-07 1.01 1.02 0.96% 1.18%
Sep-07 1.04 1.03 3.25% 2.58%
Oct-07 1.01 1.00 1.15% -1.13%
Nov-07 0.96 1.00 -4.73% -0.93%
Dec-07 0.99 0.98 -1.19% -3.13%
1.035534521 1.0756382954
Total Return 3.553% 7.564%
Product Yi Yi-MRD
0.004060236840807090%
0.020684978950224400%
0.012576099438393700%
0.107048100110089000%
0.016863196489237500%
0.023725137924613300%
0.074916043768103400%
0.011312075434528900%
0.083757792973542000%
-0.012968210522421300%
0.043727249126009200%
0.037102192993274300%
B2: Enter your desired periods here

C2: Enter benchmark return for the periods

D2: Enter portfolio return for the periods