夏普、索提諾及資訊比率計算器
分類： UncategorizedEvaluate investment performance with key risk-adjusted return metrics. Compare portfolios and investment strategies with measures that account for volatility, downside risk, and benchmark performance.
Investment Data
Benchmark Information (for Information Ratio)
Risk-Adjusted Return Metrics
Statistical Analysis
Ratio Comparison
Return vs. Risk Analysis
Interpretation & Analysis
Your investment shows good risk-adjusted returns with a Sharpe Ratio of 1.24. This indicates that for each unit of risk taken, you're earning an excess return (above risk-free rate) of 1.24.
The Sortino Ratio of 1.85 is notably higher than the Sharpe Ratio, suggesting your investments have relatively lower downside risk compared to overall volatility.
The Information Ratio of 0.76 shows moderate outperformance versus the benchmark, however, this is not statistically significant based on the observation period.
- Strong downside risk management (high Sortino Ratio)
- Consistent performance above the risk-free rate
- Statistically significant Sharpe Ratio
- Benchmark outperformance is not statistically significant
- Moderate maximum drawdown relative to returns
- More data would strengthen the statistical confidence
Understanding Risk-Adjusted Return Metrics
Risk-adjusted return metrics help investors evaluate investment performance while accounting for the risk taken to achieve those returns. These ratios are essential tools for comparing portfolios with different risk profiles.
夏普比率
Formula: (Average Return - Risk-Free Rate) / Standard Deviation
Developed by Nobel laureate William Sharpe, this ratio measures excess return per unit of total risk. Higher values indicate better risk-adjusted performance.
Sortino Ratio
Formula: (Average Return - Risk-Free Rate) / Downside Deviation
A variant of the Sharpe ratio that only penalizes downside volatility, recognizing that upside volatility is beneficial to investors.
Information Ratio
Formula: (Portfolio Return - Benchmark Return) / Tracking Error
Measures a portfolio manager's ability to generate excess returns relative to a benchmark, but also adjusts for tracking risk (deviation from benchmark).
統計顯著性
Performance ratios should be tested for statistical significance, especially with shorter observation periods.
For a Sharpe ratio to be statistically significant at the 95% confidence level:
- 1-year observation: Sharpe ratio > 2.0
- 3-year observation: Sharpe ratio > 1.0
- 5-year observation: Sharpe ratio > 0.8
- 10-year observation: Sharpe ratio > 0.6
Similar principles apply to other ratios like the Information Ratio.
Additional Ratios
Treynor Ratio
Formula: (Portfolio Return - Risk-Free Rate) / Portfolio Beta
Measures excess return per unit of systematic risk (beta). A higher Treynor ratio indicates a better risk-adjusted performance against market risk.
卡瑪比率
Formula: Annualized Return / Maximum Drawdown
Evaluates return relative to maximum drawdown risk. Particularly useful for strategies where limiting large losses is critical.
Uncategorized 相關工具
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本工具計算什麼
以三種方式衡量風險調整後的回報。
- 公式
夏普 =（回報 − 無風險利率）÷ 標準差；索提諾只計下行標準差；資訊比率 =（回報 − 基準）÷ 追蹤誤差- 計算示例
- 回報 12%、無風險利率 3%、波幅 15%，夏普比率 =（12 − 3）÷ 15 = 0.60。
- 何時使用
- 比較回報與風險水平各異的不同策略。
- 常見錯誤
- 夏普比率把上行波動與下行波動同樣視為風險。急升的策略評分反而較差，索提諾比率正是為此而設。