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Analyze Your Portfolio Free →The Sharpe ratio is the most widely used measure of risk-adjusted return in finance. Developed by Nobel laureate William F. Sharpe in 1966, 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.
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.
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.
Yes, 100% free. No signup, no email required, no usage limits. Your portfolio data is processed entirely within your browser and is never sent to any server. 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.