Sharpe Ratio


Performance Report
The Sharpe Ratio is a key figure for the profitability of an investment in relation to its risk. It gives a feeling for the profit/risk ratio during the trade.

The calculation is based on a reference value for a "risk-free investment", for example a bond or a fixed deposit account. On this basis, the resulting interest for the investment is calculated. When calculating the risk of a trade, the standard deviation is used as a measure of the volatility.

The Sharpe Ratio is calculated for monthly periods, like the profits and the volatility.

Average Sharpe Ratio

The Average Sharpe Ratio is identical to the Sharpe Ratio but calculated over the whole history length. Since it is based on longer periods, the result is more averaged than the original key figure.