---
title: "Sharpe Ratio"
method: POST
path: "/portfolios/analysis/mean-variance/sharpe-ratio"
tags: ["Portfolio Analysis / Mean-Variance"]
---

# Sharpe Ratio

`POST /portfolios/analysis/mean-variance/sharpe-ratio`

Compute the Sharpe ratio of a portfolio.

References
* Harry M. Markowitz, Portfolio Selection, Efficient Diversification of Investments, Second edition, Blackwell Publishers Inc.
* [Sharpe, W. (1994) The Sharpe Ratio. Journal of Portfolio Management, 21, 49-58](https://www.pm-research.com/content/iijpormgmt/21/1/49)

## Request body

- union
  - object
    - `assets` integer, required — The number of assets
    - `assetsReturns` number[], required — assetsReturns[i] is the arithmetic return of the asset i over the considered time period
    - `assetsCovarianceMatrix` array[], required — assetsCovarianceMatrix[i][j] is the covariance between the asset i and the asset j arithmetic returns over the considered time period
      - number[]
    - `riskFreeReturn` number — The constant risk-free arithmetic return over the considered time period, in percentage
    - `portfolios` object[], required
      - `assetsWeights` number[], required — assetsWeights[i] is the weight of the asset i in the portfolio over the considered time period, in percentage
  - object
    - `riskFreeReturn` number — The constant risk-free arithmetic return over the considered time period, in percentage; exclusive with riskFreeReturns
    - `riskFreeReturns` number[] — riskFreeReturns[t] is the risk-free arithmetic return at the time t; the riskFreeReturns array must have the same length as all the portfolioReturns arrays or the same length minus 1 as all the portfolioValues arrays; exclusive with riskFreeReturn
    - `portfolios` object[], required
      - `portfolioReturns` number[] — portfolioReturns[t] is the arithmetic return of the portfolio at the time t; exclusive with portfolioValues
      - `portfolioValues` number[] — portfolioValues[t] is the value of the portfolio at the time t; exclusive with portfolioReturns

## Response `200`

OK

- object
  - `portfolios` object[], required
    - `portfolioSharpeRatio` number, required — The Sharpe Ratio of the portfolio

---

[API](https://skmtc.net/portfoliooptimizer/apis/portfolio-optimizer.md) · [All operations](https://skmtc.net/portfoliooptimizer/apis/portfolio-optimizer/llms.txt) · [OpenAPI document](https://skmtc-service-staging.skmtc.workers.dev/v1/apis/portfoliooptimizer/portfolio-optimizer/versions/479fd4ac44aa/schema)