Sortino Ratio Calculator
Enter the return, the risk-free rate and the downside deviation to measure return earned per unit of harmful volatility.
- Free
- No sign-up
Enter return, risk-free rate and downside deviation to see the Sortino ratio.
Worked example
With these example inputs:
- Portfolio return10%
- Risk-free rate2%
- Downside deviation8%
Sortino ratio: 1
- Excess return8.0%
Frequently asked questions
How does the Sortino ratio differ from Sharpe?
It divides excess return by downside deviation instead of total standard deviation, so only harmful downside volatility counts. A 10% return, 2% risk-free rate and 8% downside deviation give 1.0.
Why use downside deviation?
Investors rarely mind upside swings. By penalizing only losses, the Sortino ratio better reflects the risk that actually concerns most people.
What is the difference between the Sortino and the Sharpe ratio?
The Sharpe ratio counts all volatility, both gains and losses, as risk. The Sortino ratio only counts the downside, since upward swings are good. So the Sortino ratio is a fairer measure of harmful risk. It rewards a fund that grows smoothly and avoids big drops.
What is downside deviation in simple terms?
It measures how much returns fall below a target, ignoring the gains. Big upward moves do not add to it, only the bad moves do. You usually work it out from a series of past returns. This calculator needs that figure as an input, it does not compute it.
What is a good Sortino ratio?
As a rough guide, above two is strong and around one is acceptable. Below one means the reward was small for the downside risk taken. The right level still depends on the asset and the period. Always compare similar investments over the same time window.