The Sharpe Ratio is a measure of the risk-adjusted return of an investment. It was developed by Prof. William Sharpe.

At the end of each month, calculate the percentage change of the account. This calculation is done from the entry price of each investment. Then calculate the average monthly return over the last 24 months. Also, calculate the standard deviation of the last 24 monthly returns. Annualize the average by mutiplying by 24 and the standard deviation by the square root of 24. Assume a risk-free return of 5 Calculate the excess return as the annualized annual returna less the risk-free return. The Sharpe Ratio is the excess return divided by the annualized standard deviation.

Sharpe Ratios greater than 2 are very good and greater than 3 are outstanding.

Note-We have used a risk-free return of .05 or 5

 

Year Month Monthly Change Average Monthly Change Standard Deviation Sharpe Ratio % Winning Trades Profit/Loss Ratio
1999 1 0.0652       14.29 0.07
1999 2 -0.0177 0.0238 0.059 1.16 14.29 0.07
1999 3 0.0378 0.0284 0.042 1.99 58.06 1.69
1999 4 -0.0494 0.009 0.052 0.32 52.78 1.5
1999 5 -0.1091 -0.0146 0.069 -0.94 50 1.2
1999 6 0.0297 -0.0072 0.065 -0.61 45.65 0.85
1999 7 0.0712 0.004 0.066 -0.01 45.65 0.85
1999 8 0.0885 0.0145 0.068 0.53 46 0.78
1999 9 0.0345 0.0168 0.064 0.68 48.15 1.1
1999 10 0.0612 0.0212 0.062 0.95 47.46 1.14
1999 11 0.1617 0.034 0.072 1.42 45.45 1.09
1999 12 0.3999 0.0645 0.126 1.65 45.45 1.09
2000 1 0.6553 0.1099 0.204 1.8 57.95 4.83
2000 2 1.2013 0.1879 0.351 1.81 63.72 10.09
2000 3 -0.1301 0.1667 0.348 1.62 63.72 10.09
2000 4 -0.2749 0.1391 0.354 1.32 63.72 10.09
2000 5 -0.2608 0.1156 0.356 1.08 61.54 8.99
2000 6 -0.0792 0.1047 0.349 1 54.48 5.52
2000 7 -0.0135 0.0985 0.34 0.96 54.09 5.25
2000 8 0.0653 0.0968 0.331 0.97 52.41 5.13
2000 9 0.0451 0.0944 0.323 0.97 53.07 5.13
2000 10 -0.0435 0.0881 0.316 0.92 53.07 5.13
2000 11 -0.0026 0.0842 0.31 0.89 52.15 4.91
2000 12 0.0758 0.0838 0.303 0.91 52.11 4.89
2001 1 0.0538 0.0833 0.303 0.91 52.55 4.82
2001 2 0.0329 0.0855 0.302 0.93 52.02 4.8
2001 3 0.0251 0.0849 0.302 0.92 51.74 4.53
2001 4 0.0667 0.0898 0.301 0.98 52.2 4.62
2001 5 -0.0019 0.0942 0.299 1.04 52.2 4.62
2001 6 0.0074 0.0933 0.299 1.03 51.42 4.35
2001 7 0.0792 0.0936 0.299 1.04 51.42 4.35
2001 8 0.0277 0.0911 0.299 1.01 50.22 4.18
2001 9 0.1057 0.0941 0.299 1.04 50.67 4.23
2001 10 0.0144 0.0921 0.3 1.02 51.3 4.23
2001 11 0.0161 0.086 0.3 0.95 51.5 4.23
2001 12 0.0105 0.0698 0.292 0.78 51.5 4.23
2002 1 0.1023 0.0468 0.265 0.56 51.05 4.18
2002 2 0.1792 0.0042 0.104 0 51.65 4.2
2002 3 0.1496 0.0158 0.104 0.39 51.64 4.1
2002 4 0.183 0.0349 0.09 1.19 52.03 4.12
2002 5 0.2974 0.0582 0.082 2.29 51.82 4.11
2002 6 0.1809 0.069 0.08 2.81 50.2 3.84
2002 7 0.1955 0.0777 0.082 3.11 49.81 3.78
2002 8 0.0232 0.076 0.083 3.01 49.62 3.76
2002 9 0.004 0.0743 0.084 2.9 49.44 3.75
2002 10 -0.0077 0.0758 0.082 3.03 49.26 3.72
2002 11 0.0673 0.0787 0.08 3.22 49.09 3.66
2002 12 0.0407 0.0772 0.081 3.14 48.95 3.65
2003 1 -0.0233 0.074 0.083 2.91 48.63 3.57
2003 2 -0.084 0.0691 0.089 2.53 48.63 3.57
2003 3 -0.1502 0.0618 0.099 2.01 47.97 3.4
2003 4 0.1146 0.0638 0.1 2.07 47.97 3.4
2003 5 0.1985 0.0722 0.102 2.3 47.97 3.4
2003 6 0.2266 0.0813 0.106 2.52 48.15 3.43
2003 7 0.1705 0.0851 0.108 2.6 48.67 3.45
2003 8 0.1099 0.0885 0.107 2.73 49.17 3.47
2003 9 0.0933 0.088 0.107 2.71 49.68 3.5
2003 10 0.1866 0.0952 0.108 2.93 49.35 3.48
2003 11 0.2022 0.1029 0.108 3.16 49.84 3.51
2003 12 0.1322 0.108 0.107 3.37 49.68 3.47
2004 1 0.1292 0.1091 0.107 3.41 50 3.49
2004 2 0.138 0.1074 0.106 3.38 50.31 3.48
2004 3 0.1137 0.1059 0.106 3.34 50 3.46
2004 4 -0.0388 0.0967 0.108 2.96 49.57 3.29