# Sharpe ratio - excel help

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##### Experienced member
guys,
been very grateful for help from you excel slicers in the past, so thought I'd throw this one out to you.

I've got a long list of trades, and 34 months worth of monthly % return on money calculated. I want to work out the risk adjusted return ratio's and was planning to do this via Sharpe ratio, unless anyone has a better recommendation?

I understand from a bit of googling that the Sharpe ratio is:
annual return rate / annualized standard deviation of returns

STDEV(C1:C34) - am i correct that this formula will work out the standard deviation for the cells in the brackets? If so, then I've already worked out what the standard deviation of the 34 monthly returns is.

The bits I need some extra help with:
I dont know how to convert the standard deviation of my monthly returns into an annualised figure - and - I'm not sure I want to, since I have 34 months worth of data.

I'd ideally like to work out the Sharpe ratio for all 34 months worth of trades, but what this means in terms of tweaking the standard deviation part of the equation, i'm really not too sure - any help or input with the maths and the excel bits would be appreciated.

I may have half answered my question...

if I add all the 34 x month % figures together, this would give me a total % return for the 34 months.

I would then need to divide the return by the standard deviation "annualised" for the 34 interval "year".

I think this would be an equation like this, where A is the standard deviation of the 34 months return figures:
A * SQRT(34)

any ideas how to express this as an excel formula? :cheesy:

nuts, i figured it out myself using a calculator. sorry people. was having a brain blockage this afto, too much coffee i think
Thanks for looking in anyway.

Arbitrageur said:
nuts, i figured it out myself using a calculator. sorry people. was having a brain blockage this afto, too much coffee i think
Thanks for looking in anyway.

I believe sharpe ratio is generally calculated (rate of return-risk free rate of return)/std. dev.

I prefer sortino ratio to sharpe ratio, which is (rate of return-risk free rate of return)/downside std. dev. The sharpe ratio penelizes you for upside volatility, but I personally like volatility when it's on the upside!

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