Sortino Ratio Calculator
The Sortino Ratio Calculator measures return per unit of downside risk, ignoring upside volatility. Enter portfolio return, risk-free rate, and downside deviation to get the Sortino ratio.
Formula
Sortino Ratio = (Portfolio Return − Risk-Free Rate) ÷ Downside Deviation
- Like the Sharpe ratio but penalises only harmful (downside) volatility.
- Higher values indicate better return for the downside risk taken.
12% return, 4% risk-free, 7% downside deviation
Inputs
- Portfolio Return: 12 %
- Risk-Free Rate: 4 %
- Downside Deviation: 7 %
(12 − 4) ÷ 7 = 1.14 units of excess return per unit of downside risk.
Frequently asked questions
How is Sortino different from Sharpe?
Sharpe uses total volatility; Sortino uses only downside deviation, so it does not penalise large positive returns.