FuturesAI Sharpe Ratios: How to Recompute Them After Fees

Not investment advice. Futures trading with leverage can lose the full principal. Figures are worked examples from published data, not forecasts.

Sharpe tables usually assume you bought and held. Nobody trading perpetual futures does that. Every entry and exit costs a fee, and that fee comes out of exactly the number the Sharpe ratio is built on.

This walk-through takes FuturesAI’s own Sharpe table, checks the arithmetic, then subtracts fees at different trading frequencies. The fee rates come from FuturesAI’s Bitget payback page.

Check it on FuturesAI

Jump to a Section

• How does FuturesAI calculate its Sharpe ratios?
• How much do trading fees cut the BTC Sharpe ratio?
• At how many trades does BTC fall below the S&P 500?
• Which coins lose the most Sharpe to fees?
• What this calculation leaves out
• Run it on your own numbers

How does FuturesAI calculate its Sharpe ratios?

FuturesAI’s February 15, 2026 Sharpe article calculates annualized Sharpe ratios from daily returns with a 4.5% risk-free rate, the US 1-year Treasury yield, and lists BTC at 1.20 over 12 months.

The formula is (return minus risk-free rate) divided by volatility. When I checked each row of FuturesAI’s table against that formula, I found that all five crypto rows reproduce to two decimals:

That matters. It means the table is internally consistent, so you can safely subtract a fee from the return column and recompute.

How much do trading fees cut the BTC Sharpe ratio?

A trader who turns over a 1x BTC futures position 52 full round trips a year at Bitget’s 0.06% market fee gives up about 6.24% a year in fees, which cuts BTC’s 12-month Sharpe ratio on FuturesAI’s table from 1.20 to about 1.07.

FuturesAI’s Bitget payback page lists a 0.06% market fee before payback and an effective 0.015% after its discount and 50% payback. One round trip is two fills, so that’s 0.12% versus 0.03% of notional per round trip.

Monthly trading barely moves the number. Daily trading is a different story. Here’s where people get tripped up: the fee looks tiny on one trade, but the Sharpe ratio is annual, so the fee is multiplied by every trade in the year.

At how many trades does BTC fall below the S&P 500?

BTC’s fee-adjusted Sharpe ratio falls below the S&P 500’s 1.00 on FuturesAI’s table at about 81 full round trips a year at a 0.06% market fee, or about 323 round trips at an effective 0.015% fee.

The working is short. BTC’s excess return is 62.4% minus 4.5%, or 57.9%. To score 1.00 on 48.2% volatility, it needs 48.2% excess return. So fees can take 9.7 percentage points a year before the two tie.

Honestly, the order type matters as much as the payback. Limit fills before any payback go three times further than market fills.

Which coins lose the most Sharpe to fees?

Lower-volatility coins lose more Sharpe to the same fee, because the fee drag is divided by a smaller volatility number, so on FuturesAI’s table BTC loses about 0.13 at 52 round trips a year on a 0.06% fee while SOL loses about 0.08.

I noticed that AVAX drops to about 0.25 once fees are in. Its Sharpe was already the lowest on FuturesAI’s table, at 0.33, so there was little room to give.

You’ll probably notice SOL keeps the highest score in every column. That’s because its 12-month return was so large, 124.5%, not because fees are kinder to it.

What this calculation leaves out

The figures above isolate fees and nothing else. Several real costs are missing:

• Funding payments on perpetual futures, which can add or subtract.
• Slippage, especially on market orders in fast moves.
• The return itself. An active trader doesn’t earn the buy-and-hold return; the table assumes the same return to show the fee effect alone.
• Payback timing. FuturesAI’s Bitget page says payback is credited once a day, and withdrawals need at least 50 USDT.

The FuturesAI data also covers one 12-month window ending around February 2026. Past Sharpe ratios do not predict future ones.

Run it on your own numbers

1. Write down your realized return and volatility for the year, from your own records.
2. Count full round trips, scaled to your average position size relative to capital.
3. Multiply round trips by two, then by your actual fee per side.
4. Subtract that and the 4.5% risk-free rate from the return.
5. Divide by volatility. Compare with and without your payback rate.

If your fee-adjusted Sharpe lands under 1.00, the market’s index fund did better on a risk-adjusted basis. For sizing each trade once fees are known, see FuturesAI Kelly: How to Size a Trade After Fees.

Tips

• Use the fee you actually paid, after any payback that has already been credited.
• Count limit and market fills separately; they cost very different amounts.
• Scale round trips by position size. A 3x notional round trip counts three times.
• Recheck FuturesAI’s payback page before relying on the 0.015% effective fee.

Warnings

• This is not investment advice. Leveraged futures can lose the full principal.
• Sharpe ratios are backward-looking and can flatter strategies with rare large losses.
• FuturesAI’s payback page says only accounts opened within 7 days that never used another referral code can be linked.
• Payback terms can change or end, according to FuturesAI’s own policy notes.

FAQ

Does leverage change the Sharpe ratio?

In the simple case, no. Leverage scales both excess return and volatility by the same factor, so the ratio stays put. Fees do not cancel out that way, because they are charged on the full notional, so higher leverage at the same trade count makes fee drag larger relative to your capital.

Why use round trips instead of number of trades?

Because futures fees are charged on notional when you open and again when you close. One round trip at a 0.06% market fee costs about 0.12% of the position’s notional, before slippage and funding.

Is a Sharpe ratio above 1 good?

It is a common rule of thumb, and FuturesAI’s table puts the S&P 500 at 1.00 over the same 12 months. But a Sharpe ratio is backward-looking and assumes returns are roughly normal, which crypto returns often are not, so treat it as one input rather than a verdict.

Sources

• FuturesAI: Risk-Adjusted Returns: Sharpe Ratios Across Crypto Assets (February 15, 2026)
• FuturesAI: Bitget payback policy (fees before and after payback)

Next step: pull last year’s trade count from your exchange history and run the five steps. For the backtest version of the same problem, see FuturesAI Strategy Kit: How to Add Real Fees to a Backtest.

Check it on FuturesAI

Fact-checked against FuturesAI’s Sharpe article and Bitget payback page as of October 30, 2026. Calculations are worked examples.