Financial Calculators
Sortino Ratio Calculator
Calculate the Sortino ratio and annualized Sortino ratio from portfolio return, risk-free rate, and downside deviation locally in your browser.
Measure downside risk-adjusted return with the Sortino ratio.
The Sortino ratio is the excess return of a portfolio over the risk-free rate divided by the downside deviation of the portfolio return: (Rp − Rf) / σd. Unlike the Sharpe ratio, it only penalizes returns below the risk-free rate, making it more suitable for asymmetric return distributions. Enter the portfolio return, risk-free rate, and downside deviation as percentages, and choose the data frequency (daily, weekly, monthly, quarterly, or annually) to annualize the ratio using √N where N is the number of periods per year. For example, with a 12% portfolio return, 4% risk-free rate, and 10% downside deviation using monthly data, the period Sortino ratio is 0.8000 and the annualized Sortino ratio is 2.7713. Interpretation: below 1 is poor, 1 to 2 is acceptable, 2 to 3 is good, and 3 or above is excellent. All calculations stay in your browser.
Frequently Asked Questions
Everything you need to know about this tool, how it works, and privacy.
What is the Sortino ratio?
The Sortino ratio measures risk-adjusted return by dividing the excess return of a portfolio over the risk-free rate by the portfolio's downside deviation: (Rp − Rf) / σd. Unlike the Sharpe ratio, it only considers returns below the risk-free rate (or a minimum acceptable return) as risk, making it more suitable for asymmetric return distributions.
How is the annualized Sortino ratio calculated?
Multiply the period Sortino ratio by the square root of the number of periods per year: annualized = period × √N. For monthly data, N = 12; for daily, N = 252 (trading days); for weekly, N = 52; for quarterly, N = 4; for annual, N = 1.
How does the Sortino ratio differ from the Sharpe ratio?
The Sharpe ratio uses total standard deviation (both upside and downside volatility) as the risk measure, while the Sortino ratio uses only downside deviation. This means the Sortino ratio does not penalize positive volatility, making it more appropriate for strategies with asymmetric returns such as options or hedge funds.
How do I interpret the Sortino ratio?
Common benchmarks: below 1 is poor, 1 to 2 is acceptable, 2 to 3 is good, and 3 or above is excellent. These are conventions; compare against relevant benchmarks and consider the investment strategy, time horizon, and market conditions.
Can the Sortino ratio be negative?
Yes. If the portfolio return is less than the risk-free rate, the excess return and Sortino ratio are negative, indicating the portfolio underperformed a risk-free investment after adjusting for downside risk.
Is my data uploaded?
No. All calculations run locally in your browser. CodeASystem does not upload or store the values you enter.