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Finance & Investment · Risk & Portfolio

Sortino Ratio Calculator

Paste a series of periodic returns to get the Sortino ratio — return above your minimum acceptable return per unit of downside deviation — alongside the Sharpe ratio, annualised return and volatility.

Your inputs

Quick start — try a typical case

24 rows · you can paste rows from Excel or Google Sheets

One return per row in %, oldest first. Paste a column from Excel.

%

Returns below this count as 'bad'. Often 0 % or the risk-free rate.

%

Your result Live

Sortino Ratio

1.76

8.51% a year vs 0.00% target, ÷ 4.83% downside deviation

Sharpe Ratio (for comparison)
0.25
Annualised Return
8.51%
Downside Deviation (annualised)
4.83%
Volatility (annualised)
7.91%
Periods Below Target
8 of 24
Average Period Return
0.71%

How this is calculated

Sortino = (Annualised return − MAR) ÷ Downside deviation; DD = √(Σ min(0, rₖ − mar)² ÷ N) × √periods per year

MAR
Minimum acceptable return (yearly; converted to the period rate)
N
Number of periods — all of them, not just the bad ones

Volatility treats a big up-month as 'risk' just like a big down-month. Investors mostly care about the downside, so the Sortino ratio divides excess return by downside deviation only. A fund whose swings are mostly upward scores much better on Sortino than on Sharpe.

Assumptions & sources

  • Returns are simple periodic returns in %, oldest first; annualised by compounding.
  • Downside deviation uses all observations in the denominator (Sortino & Price, 1994).
  1. 1Performance Measurement in a Downside Risk Framework (Sortino & Price, 1994) — Journal of Investing
  2. 2Investments (Bodie, Kane & Marcus), chapters on returns, compounding and the time value of money — McGraw-Hill

Calculator ID FIN-RISK-SORTINO-001 · version 1.0.0

Common questions

Sortino or Sharpe?

Use both. Sharpe penalises all volatility; Sortino only harmful volatility. A big gap between them means the fund's swings are mostly on the upside (or downside).

What MAR should I use?

0 % to measure risk of losing money, or the risk-free rate to measure risk of under-performing safe assets.