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The Sharpe & Sortino Ratio Calculator

Return alone doesn't say much without the volatility it took to get there. Sharpe divides excess return by total volatility; Sortino divides it by downside volatility only, so it doesn't penalize a name for going up sharply. Both are computed here from real daily closes for any of AEA's 31 real holdings — the same dataset behind the Volatility & Correlation Engine.

Runs entirely in your browser against a static dataset already published on this site. Nothing is sent anywhere.

Compute risk-adjusted return

Covers the 31 of AEA's 32 real holdings with enough real price history (SPCX is excluded — too new).

Holding Risk-free rate, annualized (%)

Reading the two ratios

Sharpe

Return per unit of total risk

(Annualized return − risk-free rate) ÷ annualized volatility. Penalizes upside and downside volatility equally — a name that rips higher in violent moves still scores worse than one that grinds up quietly.

Sortino

Return per unit of downside risk

Same numerator, but the denominator only counts days with negative returns. A name with big up-days and small down-days can show a much higher Sortino than Sharpe — that gap is itself informative about the shape of its returns.

Both

Backward-looking, not predictive

Above 1.0 is generally considered a good risk-adjusted return; below 0 means the volatility wasn't compensated even before the risk-free hurdle. Neither ratio says anything about tomorrow, and both are computed here over a short, partial-year sample.

Why this instead of just eyeballing the return

AEA's own book leans into a few high-volatility names on purpose — that's a documented, deliberate choice, not an oversight. Sharpe and Sortino are the standard way a risk desk checks whether that volatility is actually being paid for by return, name by name, rather than just assumed. It's the same question the Leverage Decay Study asks about daily-reset funds, applied here to ordinary equities.

Methodology & limitations

Data source. Real daily closing prices from research/_data/price_history.json, the same dataset extracted from each position's own published price-chart data. No live API call is made by this tool.

Formulas. Annualized return = mean(daily log returns) × 252. Annualized volatility = stdev(daily log returns) × √252 — identical to the formula used in the Volatility & Correlation Engine, so the two tools can be cross-checked against each other. Downside deviation uses only negative daily log returns, against a minimum acceptable return (MAR) of zero — the most common convention, not AEA's actual cost of capital.

Sample size. Ranges from 57 to 125 real trading days depending on the name — short enough that these are indicative, not statistically robust, estimates. They should not be read as a stable, permanent property of the stock.

Not investment advice. Nothing here is a recommendation to buy, sell, or avoid any security.