Sortino Ratio Calculator

Calculate Sortino Ratio

Portfolio Return (%)

Risk-Free Rate (%)

Downside Deviation (%)

Target Return (%)

Or Calculate Downside Deviation from Returns

Historical Returns (comma-separated %)

Sortino Ratio Results

Sortino Ratio

Excess Return

Downside Deviation

Performance Rating

Interpretation

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Understanding Sortino Ratio

Formula

Sortino Ratio = (Portfolio Return - Risk-Free Rate) / Downside Deviation

Downside Deviation

√(Σ(min(Return - Target, 0))² / n)

Key Features

Focuses only on downside risk
More relevant than Sharpe ratio for asymmetric returns
Better for evaluating hedge funds and alternative investments
Customizable target return threshold

Interpretation

> 2.0: Excellent risk-adjusted performance
1.0 - 2.0: Good performance
0.5 - 1.0: Acceptable performance
< 0.5: Poor risk-adjusted returns
Negative: Underperforming risk-free rate

Advantages over Sharpe Ratio

The Sortino ratio only penalizes downside volatility, making it more appropriate for investments with asymmetric return distributions. Unlike the Sharpe ratio, it doesn't penalize upside volatility, which investors generally view as favorable.

Calculate Sortino Ratio

Or Calculate Downside Deviation from Returns

Sortino Ratio Results

Interpretation

Compare Investments

Understanding Sortino Ratio

Formula

Downside Deviation

Key Features

Interpretation

Advantages over Sharpe Ratio

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