Sharpe Ratio Based Portfolio Simulator

The Sharpe Ratio measures the quality of an equity or hedge fund by showing the return per unit of risk, calculated as , where is the expected return, is the risk-free rate, and is the standard deviation (volatility). A higher ratio indicates better performance for the risk taken—more return without excessive variability. In the simulator, the standard deviation slider ( ) controls the level of risk you accept: increasing it means you’re comfortable with greater fluctuations in value, while decreasing it reduces exposure to variability, reflecting how much uncertainty you’re willing to tolerate.

The tool shows how $1000 grows over 10 years given the parameters you choose, according to a random price simulation generated through Brownian motion.

You can also click on one of the presets, which plugs in that ETF’s 10-year Sharpe and Std Dev.

Sharpe Ratio:
1
Excess Return (%) (μ – r):
15
Risk Free Rate (%) (r):
2
Std Dev (%) (σ):
15
Borrowing Rate (%):
3
Leverage Ratio:
1