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Sortino ratio calculator

A risk-adjusted return that only penalises downside volatility: (return − minimum acceptable return) ÷ downside deviation. Unlike Sharpe, it ignores upside swings, so it rewards investments that grow steadily without deep drawdowns. Enter summary figures or paste a returns series to derive the downside deviation.

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Enter Input, Portfolio return (%/yr), Minimum acceptable return (%/yr), Downside deviation σ_d (%/yr), Periodic returns (%), MAR per period (series, %), Periods per year (series) and the Sortino ratio calculator works out Sortino ratio, Downside deviation (annualised) straight away. For instance, with Input = Summary figures, Portfolio return (%/yr) = 12, Minimum acceptable return (%/yr) = 4.5, Downside deviation σ_d (%/yr) = 7, Periodic returns (%) = 2.4, 1.1, -3.8, 3.2, -1.6, 4, 0.9, -4.1, 2.7, 1.5, MAR per period (series, %) = 0.35 and Periods per year (series) = 12 it returns Sortino ratio = 1.071 and Downside deviation (annualised) = 7.

How to use it

  1. Enter your values: Input, Portfolio return (%/yr), Minimum acceptable return (%/yr), Downside deviation σ_d (%/yr), Periodic returns (%), MAR per period (series, %), Periods per year (series).
  2. Read the result instantly: Sortino ratio, Downside deviation (annualised).

Frequently asked questions

What does the Sortino ratio calculator actually compute?

It takes Input, Portfolio return (%/yr), Minimum acceptable return (%/yr), Downside deviation σ_d (%/yr), Periodic returns (%), MAR per period (series, %) and Periods per year (series) and derives Sortino ratio and Downside deviation (annualised) from them. The calculation is live as you type, so the result updates on every change.

What information do I need to provide?

7 values: Input, Portfolio return (%/yr), Minimum acceptable return (%/yr), Downside deviation σ_d (%/yr), Periodic returns (%), MAR per period (series, %) and Periods per year (series). Nothing else is required — no account, no file upload.

Can you show a worked example?

With Input = Summary figures, Portfolio return (%/yr) = 12, Minimum acceptable return (%/yr) = 4.5, Downside deviation σ_d (%/yr) = 7, Periodic returns (%) = 2.4, 1.1, -3.8, 3.2, -1.6, 4, 0.9, -4.1, 2.7, 1.5, MAR per period (series, %) = 0.35 and Periods per year (series) = 12, the calculator returns Sortino ratio = 1.071 and Downside deviation (annualised) = 7. Those figures come from running this exact tool, so you can reproduce them by entering the same values.

What happens if I enter larger values?

It moves a lot. Using Input = Returns series (%), Portfolio return (%/yr) = 24, Minimum acceptable return (%/yr) = 9, Downside deviation σ_d (%/yr) = 14, Periodic returns (%) = 2.4, 1.16, -4.18, 3.68, -1.92, 5, 1.17, -5.53, 3.78, 2.17, MAR per period (series, %) = 0.7 and Periods per year (series) = 24 instead, Sortino ratio goes from 1.071 to 0.136 — which is why it is worth testing a few scenarios rather than trusting a single figure.

Which “Input” option should I choose?

You can pick between « Summary figures » and « Returns series (%) ». Each one changes what the calculator works out, so switch and compare — the default is « Summary figures ».

What does it give for smaller values?

Scaled down to Input = Summary figures, Portfolio return (%/yr) = 6, Minimum acceptable return (%/yr) = 2.3, Downside deviation σ_d (%/yr) = 3.5, Periodic returns (%) = 2.4, 1.1, -3.8, 3.2, -1.6, MAR per period (series, %) = 0.15 and Periods per year (series) = 6, Sortino ratio comes out at 1.057. The relationship is worth checking at both ends before you rely on a single result.

When would I actually use this?

Comparing two investments that pay at different times, deciding whether a project clears its cost of capital, and sanity-checking a valuation someone else produced.

What is the most common mistake?

Trusting a valuation without asking what share of it comes from the terminal value. Past 70%, the answer is an assumption about the distant future dressed up as a calculation.

What is the difference between the Sortino ratio calculator and the Sharpe ratio calculator?

This one returns Sortino ratio and Downside deviation (annualised); the Sharpe ratio calculator returns Sharpe ratio and Volatility (annualised). That is the whole difference — open the one whose figure you need.

Is there a tool for the next step?

Treynor ratio calculator is the closest one after this: The Treynor ratio measures excess return per unit of systematic (market) risk. It divides the portfolio's return above the risk-free rate by its beta — unlike the Sharpe ratio, which uses total volatility. Higher is better, and it is ideal for ranking well-diversified portfolios whose only real risk is market exposure.

Further reading

All guides →
ExplainerThe Sortino Denominator Nobody Agrees OnOn one twelve-month series the Sortino ratio is 7.7518 or 3.8759 depending only on whether the squared shortfalls are divided by all twelve months or by the three below target. The two conventions differ by exactly the square root of twelve over three, and they can rank two funds in opposite orders.ExplainerThe Sharpe Ratio, and What It Quietly AssumesSharpe = (return − risk-free) ÷ standard deviation, so it prices return per unit of volatility — and volatility is symmetric. Two funds can share a Sharpe of 0.4939 while their Sortino ratios are 8.59 and 0.74. Annualising by √12 assumes independent returns: at an autocorrelation of 0.2 the published figure is 20 percent too high.ExplainerHow Staking Rewards Actually Work: Nominal Rate, Compounding, and What Eats ItAn advertised 8 percent becomes 8.33 percent once daily rewards compound — and then 7.46 percent after a 10 percent validator commission, and less again after unbonding time. Here is each step, with the arithmetic laid out.ExplainerImpermanent Loss Explained: What Providing Liquidity Really CostsImpermanent loss is not a fee and it is not temporary: it is the gap between your liquidity position and simply having held the two tokens. Here is the formula, a table of price change against loss, and the fee income you would need to come out ahead.ExplainerVolatility Is Not Risk, and the Square Root of Time Is a ChoiceAnnualised volatility = period standard deviation × √(periods per year), and that √t scaling assumes independent increments. It is a model, not arithmetic: at a daily autocorrelation of 0.1 a 60 percent annualised figure should read 66.3. The payload is volatility drag — the arithmetic mean exceeds the geometric by about σ²/2, so at 8 percent average return and 40 percent volatility the compound outcome is zero.ExplainerRisk/Reward Ratio Explained: The Win Rate Each Ratio RequiresA 1:3 ratio does not make you right more often — it lets you be wrong three times out of four and still break even. Here is the inversion, a table of ratio against required win rate, and what costs do to both.