I have returns from the last 12 months on a portfolio, and i have risk free rate for the latest year, on daily basis.

I have annualized the risk free rate, and i am using log returns for the period.

I use the standard deviation function in excel but i cant get the real sharpe ratio.

I am currently using this formula:


$R^A_T$ = Annualized log returns

$Rf_T$ = risk free

$\sigma$ = std dev for returns

  • $\begingroup$ The standard deviation function in Excel will not give you portfolio volatility. If that's what you are using, your denominator is wrong. $\endgroup$
    – amdopt
    Jan 29, 2020 at 14:38
  • $\begingroup$ I use excel function, but like this: standard dev excel function times squareroot(12) $\endgroup$
    – mbih
    Jan 29, 2020 at 14:42
  • 2
    $\begingroup$ Perhaps show some data, calculation steps, the Sharpe that your data is supposed to produce, etc. There are many people on this SE that could help you, but not without a bit more information. $\endgroup$
    – amdopt
    Jan 29, 2020 at 14:54


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Browse other questions tagged or ask your own question.