Interactive tool
Sharpe ratio confidence interval calculator
Estimate the standard error, 95% confidence band and multiple-testing haircut for an annualised Sharpe ratio measured from monthly crypto returns.
- 95% confidence interval
- +0.05 to +2.95
- Min. sample for 95% sig.
- 23 mo
- Expected noise max (K trials)
- 0.00
- Deflated Sharpe
- 1.50
Standard error: 0.74 (±1.45)
To exclude zero (single trial)
At K = 1 independent trial
Observed minus noise expectation
Calculate confidence bounds
Uses Andrew Lo (2002), SE(SR_ann) = √((1 + 0.5 × (SR_ann/√12)²) / N) × √12. Fat tails, serial correlation or empty months widen the true interval. Read the full Sharpe ratio confidence interval study.
Reference table: 95% confidence intervals by sample length
| Observed Sharpe | 12 months | 24 months | 36 months | 60 months | Min. months (p < 0.05) |
|---|---|---|---|---|---|
| 0.50 | −1.47 to 2.47 (±1.97) | −0.89 to 1.89 (±1.39) | −0.64 to 1.64 (±1.14) | −0.38 to 1.38 (±0.88) | 187 mo |
| 1.00 | −1.00 to 3.00 (±2.00) | −0.41 to 2.41 (±1.41) | −0.15 to 2.15 (±1.15) | 0.11 to 1.89 (±0.89) | 49 mo |
| 1.50 | −0.55 to 3.55 (±2.05) | 0.05 to 2.95 (±1.45) | 0.32 to 2.68 (±1.18) | 0.58 to 2.42 (±0.92) | 23 mo |
| 2.00 | −0.12 to 4.12 (±2.12) | 0.50 to 3.50 (±1.50) | 0.78 to 3.22 (±1.22) | 1.05 to 2.95 (±0.95) | 14 mo |
| 2.50 | 0.30 to 4.70 (±2.20) | 0.94 to 4.06 (±1.56) | 1.23 to 3.77 (±1.27) | 1.52 to 3.48 (±0.98) | 10 mo |
| 3.00 | 0.70 to 5.30 (±2.30) | 1.37 to 4.63 (±1.63) | 1.67 to 4.33 (±1.33) | 1.97 to 4.03 (±1.03) | 8 mo |