Upload your brokerage CSV and get your portfolio's Sharpe ratio instantly — calculated with real U.S. Treasury yields, not assumptions. No signup required.
Analyze Your Portfolio Free →Sharpe ratio measures portfolio return per unit of risk. It's calculated as (portfolio return − risk-free rate) divided by portfolio standard deviation. A Sharpe above 1.0 is good, above 2.0 is excellent. Most diversified index funds score 0.4 to 0.7 long-term. Foliolytic uses real U.S. Treasury yields as the risk-free rate, not a fixed assumption.
Sharpe = (Rₚ − Rf) / σₚ · above 1.0 = good · above 2.0 = excellentThe Sharpe ratio is the most widely used measure of risk-adjusted return in finance. Developed by Nobel laureate William F. Sharpe in his 1966 Journal of Business paper Mutual Fund Performance — and refined by Sharpe himself in The Journal of Portfolio Management in 1994 — it answers a deceptively simple question: how much excess return are you earning for each unit of risk you take?
Excess return means the return above what you could earn risk-free — typically by holding U.S. Treasury bills. Risk is measured as the volatility (standard deviation) of your portfolio's returns. A higher Sharpe ratio means you are being compensated more generously for the uncertainty you bear.
The ratio is indispensable for comparing investments with different risk profiles. A portfolio returning 20% per year sounds impressive until you learn its volatility is 40%. A steadier portfolio returning 10% with 8% volatility may actually be the better risk-adjusted performer — and the Sharpe ratio captures exactly that distinction.
The Sharpe ratio formula divides excess return by volatility:
Your portfolio earned 12% annualized. The 3-month T-bill yield is 4.3%. Your annualized volatility is 15%.
Sharpe = (12% − 4.3%) / 15% = 7.7% / 15% = 0.51
This is an adequate ratio — you earn about half a percentage point of excess return for every percentage point of volatility. Beating 1.0 would put you in strong territory.
Want the deeper math? Learn the math behind Sharpe ratio →
Use this table as a quick reference for evaluating Sharpe ratio values. Context matters — a 0.7 Sharpe in a turbulent bear market may be more impressive than a 1.2 during a calm bull run.
As of July 2026, the S&P 500 (SPY) has a 1-year Sharpe ratio of 1.32 and a 10-year Sharpe of 0.75. The total world index (VT) sits at 1.30 over 1 year and 0.63 over 10. Bitcoin's 10-year Sharpe of 1.00 comes with 66.9% annualized volatility — nearly four times that of stocks. Bonds (AGG) have delivered negative excess return over every window measured.
Computed by Foliolytic from daily total returns (dividends reinvested) in its own price database, windows ending July 22, 2026. Risk-free rate: 13-week U.S. Treasury bill yield, matched to each day. Equities annualized over 252 trading days, Bitcoin over 365 calendar days. Same methodology the calculator applies to your portfolio — see methodology. Figures refresh when this page is next updated.
Two things stand out. Long-run Sharpe ratios cluster between 0.4 and 0.9 even for the best-known benchmarks — so if a backtest promises a sustained Sharpe of 2 or more, check the assumptions. And Bitcoin's respectable 10-year Sharpe hides brutal path risk: the same decade included an 83% drawdown, which total-volatility metrics only partially capture.
Export your buy/sell history as a CSV from any supported brokerage — Interactive Brokers, Fidelity, Schwab, Robinhood, Coinbase, Kraken, Binance, and more. Foliolytic auto-detects the format.
Using its database of 1,400+ tickers with daily prices going back to the year 2000, Foliolytic reconstructs your portfolio's value for every calendar day. Dividends and stock splits are automatically accounted for.
Instead of using a fixed assumption, Foliolytic pulls actual 3-month U.S. Treasury bill yields from the Federal Reserve (FRED) for the exact period your portfolio was active. This is the same methodology used by institutional asset managers.
Daily log returns are computed, the mean excess return is annualized over 252 trading days, and the standard deviation is annualized by multiplying by √252. The result is your ex-post (historical) Sharpe ratio.
Upload your brokerage CSV and get the Sharpe ratio plus 70+ other metrics in seconds. Completely free.
Analyze Your Portfolio Free →Spreadsheet formulas and generic online calculators cut corners. Here is what Foliolytic does differently:
A Sharpe ratio above 1.0 is generally considered good — it means you earn more than one unit of excess return for every unit of risk. Ratios between 1.0 and 2.0 are very strong, and anything above 2.0 is exceptional. For context, the S&P 500 has historically produced a Sharpe ratio of roughly 0.4 to 0.7 over rolling 10-year periods. Hedge funds targeting 1.0+ are considered top-tier.
Foliolytic uses the 3-month U.S. Treasury bill yield as the risk-free rate, sourced from the Federal Reserve Economic Data (FRED) database. This rate is pulled daily and matched to the time period of your portfolio. Unlike many calculators that assume a static 2% or 3%, Foliolytic uses the actual rate that was available during each period of your investment — which matters significantly in environments like 2023–2025 where T-bill yields exceeded 5%.
Yes. Foliolytic tracks 440+ cryptocurrencies with daily price data going back to inception. Upload your transaction history from Coinbase, Kraken, Binance, or Delta and the Sharpe ratio is calculated automatically. Keep in mind that crypto portfolios tend to have significantly higher volatility than stock portfolios, which compresses the Sharpe ratio even when absolute returns are high.
Both ratios measure risk-adjusted return, but they define “risk” differently. The Sharpe ratio uses total volatility (standard deviation of all returns), penalizing upside and downside swings equally. The Sortino ratio uses only downside deviation — the volatility of negative returns — which many investors consider a more relevant measure of risk. If your portfolio has high positive volatility (large gains), the Sortino ratio will be higher than the Sharpe. Foliolytic calculates both automatically from the same CSV upload.
As of July 2026, SPY's Sharpe ratio is 1.32 over the trailing 1 year, 0.99 over 3 years, 0.59 over 5 years, and 0.75 over 10 years — computed by Foliolytic from daily total returns with dividends reinvested, against the 13-week Treasury bill yield. The 5-year figure is the lowest because that window still contains the 2022 bear market. These figures update as the underlying price database refreshes.
Yes, 100% free. No signup, no email required, no usage limits. No ads, no upsells, and no premium tier. Foliolytic is built and maintained by an independent developer as a free resource for retail investors who want institutional-quality analytics without the institutional price tag.