Sharpe against Sortino, six names, calendar 2025
Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-08-06, from What Is the Sharpe Ratio? Formula and Math.
| symbol | sharpe_ratio | sortino_ratio | down_day_pct |
|---|---|---|---|
| NVDA | 0.83 | 1.18 | 46.4 |
| QQQ | 0.73 | 1.08 | 42.8 |
| SPY | 0.68 | 1.01 | 44.4 |
| MSFT | 0.52 | 0.82 | 46.4 |
| KO | 0.51 | 0.78 | 50.8 |
| AAPL | 0.28 | 0.43 | 48.4 |
- Rows × columns
- 6 × 4
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
symbol |
text | 6 distinct values (AAPL, KO, MSFT…) | |
sharpe_ratio |
number | 0.28 to 0.83 | ratio or rate |
sortino_ratio |
number | 0.43 to 1.18 | ratio or rate |
down_day_pct |
number | 42.8 to 50.8 | percent |
Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
WITH
daily AS
(
SELECT
ticker AS symbol,
toDate(toTimeZone(window_start, 'America/New_York')) AS session_date,
argMax(toFloat64(close), window_start) AS close_px
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker IN ('SPY', 'QQQ', 'AAPL', 'MSFT', 'NVDA', 'KO')
AND window_start >= toDateTime('2024-12-24 00:00:00')
AND window_start < toDateTime('2026-01-01 05:00:00')
AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
+ toMinute(toTimeZone(window_start, 'America/New_York'))) >= 570
AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
+ toMinute(toTimeZone(window_start, 'America/New_York'))) < 960
GROUP BY symbol, session_date
),
stepped AS
(
SELECT
symbol,
session_date,
close_px,
lagInFrame(close_px, 1) OVER (PARTITION BY symbol ORDER BY session_date
ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_px
FROM daily
),
excess AS
(
SELECT
symbol,
close_px / prev_px - 1 - 0.0425 / 252 AS ex_ret
FROM stepped
WHERE prev_px > 0
AND session_date >= toDate('2025-01-01')
)
SELECT
symbol,
round(avg(ex_ret) / stddevSamp(ex_ret) * sqrt(252), 2) AS sharpe_ratio,
round(avg(ex_ret) / sqrt(avg(pow(least(ex_ret, 0.0), 2))) * sqrt(252), 2) AS sortino_ratio,
round(countIf(ex_ret < 0) * 100.0 / count(), 1) AS down_day_pct
FROM excess
GROUP BY symbol
HAVING count() > 200 AND countIf(ex_ret < 0) > 0
ORDER BY sortino_ratio DESC
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