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Daily Rolling Sharpe Ratio of the S&P 500 Since 1960

Updated: Jul 17, 2024



The January 30, 2024 peak at 7.13 was the highest value since November 1996 (7.37). This chart represents the strength of fast bull markets and what typically happens after a sharp rise. There are only two other times since January 2000 when this number has exceeded 6.0. January 2018 and January 2020 both peaked above 6.0 and moved to a negative value within 4 months. Prior to 2020, every time the rolling sharpe ratio finally peaked above 6, it was below 0 within 10 months.


Its possible that this time, it could be different.

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