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Sortino Ratio Calculator

Measure excess return per unit of downside volatility only, ignoring upside swings.

About Sortino Ratio Calculator

The Sortino ratio replaces total volatility with downside deviation, measuring only the variability investors actually dislike. It is usually higher than the Sharpe ratio because upside swings are excluded from the denominator. For strategies with asymmetric returns — options selling, trend following — Sortino is far more informative than Sharpe.

Formula

Sortino Ratio

Sortino Ratio = (portfolio return − risk-free rate) ÷ downside deviation

excess return
Return earned above what a riskless asset would have paid
Downside deviation
The risk measure this ratio divides by

Worked example

With the default values below, Sortino Ratio Calculator returns Sortino Ratio of 0.875. Change any input above and every figure here is recalculated in your browser.

Inputs used

Portfolio returnaccepts -100–200 %
11 %
Risk-free rateaccepts 0–30 %
4 %
Downside deviationminimum 0.01
8

Results

Sortino Ratio
0.875
Excess Return Over Risk-Free
7.00%
Interpretation
Positive but below the benchmark of 1.0
Return per Unit of Risk
1.375
Risk Level That Would Halve the Ratio
16.00

Step by step

  1. 1Values used
  2. 2Sortino Ratio
  3. 3Sortino Ratio= 0.875
  4. 4Excess Return Over Risk-Free= 7.00
  5. 5Interpretation= Positive but below the benchmark of 1.0
  6. 6Return per Unit of Risk= 1.375
  7. 7Risk Level That Would Halve the Ratio= 16.00

Assumptions and limits

  • The result is derived only from the 3 inputs listed above. Anything not among them is not part of the calculation.
  • In particular, this calculator does not take inflation, tax, fees or charges or compounding frequency into account.
  • Figures are rounded for display to 3 decimal places, so totals built from several rounded parts can differ slightly from the unrounded arithmetic.
  • This is an estimate for general information and not professional financial, tax or legal advice. See the full disclaimer for the limits that apply to this kind of calculator.

How these calculators are built and tested is described on the Methodology page. If a figure looks wrong, please report it.

Frequently Asked Questions

How is Sortino Ratio calculated?

Sortino Ratio = (portfolio return − risk-free rate) ÷ downside deviation The Sortino ratio replaces total volatility with downside deviation, measuring only the variability investors actually dislike. It is usually higher than the Sharpe ratio because upside swings are excluded from the denominator.

Why does Sortino Ratio matter?

For strategies with asymmetric returns — options selling, trend following — Sortino is far more informative than Sharpe.

What values do I need to enter?

This calculator takes 3 inputs: Portfolio return, Risk-free rate, Downside deviation. The pre-filled defaults are a realistic starting point — replace them with figures from your own environment for a result you can act on.

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