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Sharpe Ratio, Treynor Ratio and Jensen Alpha Calculator

Is this entity in good shape, or are there warning signs?

Risk-adjusted return measures from portfolio return, risk-free rate, standard deviation, beta and market return.

  • Runs in your browser
  • Nothing stored or sent
  • Free, no sign-up
Your figures
Example figuresIllustrative only. Type over them with your own.
Sharpe ratio
0.47
Excess return per unit of total risk
Treynor ratio (excess return per unit of beta)
6.36%
Jensen alpha
1.50%
Drawn to one scale
Treynor ratio (excess return per unit of beta)6.36%
Jensen alpha1.50%
CAPM expected return9.50%
Excess return over risk-free7.00%
All results
MeasureResult
Sharpe ratio0.47
Treynor ratio (excess return per unit of beta)6.36%
Jensen alpha1.50%
CAPM expected return9.50%
Excess return over risk-free7.00%
How this was worked out
Work shownrecomputed as you type
Sharpe = (Rp - Rf) / standard deviation
Treynor = (Rp - Rf) / beta
Jensen alpha = Rp - [Rf + beta x (Rm - Rf)]

Illustrative arithmetic on the figures you enter. Check the result against your firm's methodology before relying on it.

The formulas

  • Sharpe = (Rp - Rf) / standard deviation
  • Treynor = (Rp - Rf) / beta
  • Jensen alpha = Rp - [Rf + beta x (Rm - Rf)]

How it works

All three measures ask whether a return was worth the risk taken. Sharpe uses total volatility and suits a portfolio that is most of an investor holdings. Treynor uses beta, the market risk that diversification cannot remove, and suits one part of a larger portfolio.

Jensen alpha compares the actual return with what CAPM predicts for that beta. A positive alpha means the manager beat the market-risk benchmark. Use returns, risk-free rate and standard deviation over the same period and frequency.

Illustrative figures only. Check the result against your firm's methodology before relying on it.

Common questions

Monthly data: how do I annualize?

Multiply mean monthly excess return by 12 and monthly standard deviation by the square root of 12.

Which risk-free rate?

A Treasury bill yield matching the measurement period.

Can these be negative?

Yes, when the portfolio return falls below the risk-free rate or the CAPM benchmark.

Formulas on this page are the standard definitions.

Runs in your browser. The figures you type are not sent to CORAA or stored. Check the result against your firm's methodology before relying on it.

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For US CPA firms

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