Sortino Ratio Calculator
Measure return per unit of downside risk from your own return series, and compare it with the Sharpe ratio. Educational only, not trading or investment advice.
Quick answer
The Sortino ratio measures return per unit of downside risk: (mean return - target) / downside deviation, where downside deviation uses only returns below the target. Annualised by multiplying by sqrt(periods per year).
Sortino Ratio Calculator
Commas, spaces or new lines.
Minimum acceptable return.
Used for the Sharpe comparison.
Sortino Ratio (annualised)
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Sortino per Period
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Sharpe Ratio (annualised)
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Downside Deviation per Period
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Downside Deviation (annualised)
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Mean Return per Period
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Periods Below Target
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Sortino vs Sharpe (annualised)
Educational only. This is not trading or investment advice, and past returns do not predict future returns.
Shortfall Below Target
| # | Return (%) | Shortfall (%) | Squared shortfall |
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Assumptions & method
- Downside deviation = √( Σ min(0, rᵢ − T)² ÷ n ), where T is the target per period and the average is over all n periods.
- Sortino per period = (mean return − T) ÷ downside deviation. Annualised Sortino = per-period ratio × √(periods per year).
- Sharpe per period = (mean return − rf) ÷ sample standard deviation (n − 1). Annualised Sharpe = per-period ratio × √(periods per year).
- Returns are simple periodic percentages with equal spacing; at least 3 are required (up to 500). The ratio is undefined if no return falls below the target.
- Not included: costs, taxes, or the effect of sample length. Results describe your data only and are not trading or investment advice.
Results are estimates based on the figures you enter. They are not guarantees and not financial advice.
Penalising only the downside
Most investors do not mind upside surprises, but standard deviation treats them as risk. The Sortino ratio fixes that by measuring risk only as the shortfall of returns below a target you choose. Paste periodic returns, set the target per period, and the calculator finds the average excess return over the target, the downside deviation, and their ratio, annualised for easy comparison. It also computes the Sharpe ratio on the same data so you can see how much the choice of risk measure matters. Both are backward-looking statistics from your sample and depend on its length and period.