Bonus: 如何自己算Sharpe Ratio

(AI)

To quickly calculate a weighted Sharpe ratio in Excel, use = (SUMPRODUCT(ReturnsRange, WeightsRange) - RiskFreeRate) / STDEV(WeightedPortfolioReturns). Calculate the weighted portfolio returns for each period first (e.g., =Asset1Return*Weight1 + Asset2Return*Weight2), then take the standard deviation of those, annualized by multiplying by 

?

????√

 (e.g., 

252

252√

 for daily). 

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Quick Steps in Excel:

1. Prepare Data: Columns for each asset's periodic returns and a row for their respective portfolio weights.
2. Weighted Portfolio Returns: Create a new column calculating the weighted return for each period: = (Asset1Return * Weight1) + (Asset2Return * Weight2).
3. Average Portfolio Return: In a new cell, calculate the average of the weighted portfolio returns: =AVERAGE(WeightedPortfolioReturnsRange).
4. Standard Deviation: Calculate the volatility of the weighted portfolio returns: =STDEV(WeightedPortfolioReturnsRange).
5. Calculate Sharpe Ratio: =(AveragePortfolioReturn - RiskFreeRate) / StandardDeviation.
6. Annualize (Optional): Multiply the resulting Sharpe ratio by 
   

   252

   252√
    for daily data, 
   

   52

   52√
    for weekly, or 
   

   12

   12√
    for monthly data. 
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This video demonstrates how to calculate the Sharpe Ratio in Excel:

 

02:02

 

Checkmark Academy

YouTube • Mar 22, 2025

• Tip: Use {Link: SUMPRODUCT https://ca.indeed.com/career-advice/career-development/how-to-calculate-weighted-average-in-excel} for faster weighted return calculations if you have a table of returns and a corresponding table of weights.
• Formula for daily data: =(AVERAGE(WeightedReturns)-DailyRiskFreeRate)/STDEV(WeightedReturns)*SQRT(252).