Sortino Ratio Calculator

Your details

Use summary mode when you already know your downside deviation. Use series mode to paste historical period returns and have the calculator derive it for you.
The mean return of the portfolio over the measurement period, expressed as a percentage. Use the same time frequency as the downside deviation (annual, monthly, etc.).
%
The target or threshold return below which a result counts as a loss. Often set to the risk-free rate (e.g. T-bill yield) or a benchmark such as 0%.
%
The square root of the mean squared negative deviations from the MAR. Only returns below the MAR contribute to this figure.
%
When enabled, enter total (up + down) standard deviation to see the Sharpe ratio alongside the Sortino ratio.
The standard deviation of ALL period returns (not just downside). Used only to compute the Sharpe ratio for comparison.
%
Sortino RatioAcceptable (1-2)
1.67

Excess return per unit of downside risk

Excess return10%
Downside deviation6%
Sharpe Ratio (comparison)1
1.67
Negative<0Weak0-1Acceptable1-2Good2-3Excellent3+

Sortino ratio of 1.67: acceptable risk-adjusted return.

  • For every 1% of downside risk taken, the portfolio earned 10.00% excess return divided by 6.00% downside deviation.
  • A ratio between 1 and 2 is acceptable but not exceptional. Improving it requires either a higher return, a lower MAR, or tighter downside control.
  • The Sortino ratio (1.67) exceeds the Sharpe ratio (1.00), which suggests upside volatility is pulling the total standard deviation higher. This is a favorable asymmetry: the portfolio's volatility is skewed toward gains.

Next stepTo keep the ratio high, monitor the downside deviation each rebalancing period. A single large drawdown period can sharply reduce an otherwise strong ratio.

 = Powered by OnlyCalculators