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Sortino Ratio Calculator

The Sharpe ratio with only downside volatility in the denominator. Where a strategy has occasional large gains the two ratios diverge sharply, and that gap is the point of the measure.

Also called: downside deviation calculator, sortino calculator.

%
Sortino ratio
2.45

2.45 against a Sharpe ratio of 1.32 on the same series. The Sortino ratio is well above the Sharpe ratio, which means most of the volatility in this series was upside. The Sharpe ratio counted those periods as risk. 4 of 12 periods fell below the target of 0.54% per period. The deviation still divides by all 12, not by the 4 that fell short, so a series with one severe shortfall does not score better than one with several mild ones.

Sharpe ratio for comparison
1.32
Annualised return
15.7%
Downside deviation
3.76%
Total volatility
7%
Periods below the target
4
Worst period
-2.3%
Against the Sharpe ratio
The Sortino ratio is well above the Sharpe ratio, which means most of the volatility in this series was upside. The Sharpe ratio counted those periods as risk.
On the downside measure
4 of 12 periods fell below the target of 0.54% per period. The deviation still divides by all 12, not by the 4 that fell short, so a series with one severe shortfall does not score better than one with several mild ones.
How this is calculated

An estimate, not an offer or a guarantee. Projected returns assume the rate you entered holds for the whole term, which no market does.

Method and background

This is what the calculation gives for the numbers you entered. It is an estimate, not advice, and it knows nothing about your situation beyond those numbers. Rules for India change on a published schedule; the effective date is shown on every rule-based tool.

How this is calculated

Downside deviation squares only the shortfalls below the target return and divides by the full count of periods, not the count of losing ones. That divisor is deliberate and is what many implementations get wrong: dividing by the number of losing periods alone would make a portfolio with one catastrophic month look better than one with three mild ones. The page shows the Sharpe ratio on the same series so the divergence is visible, since a large gap means the volatility is mostly upside and a small gap means the returns are roughly symmetric.

only returns below the target enter the denominator, so upside volatility no longer counts as risk
T
Minimum acceptable return
σd
Downside deviation

Worked examples

Each of these is asserted on every build. If a change to the engine ever moved one of these answers, the build would fail before the page could print it.

a series with mostly upside volatility

Period returns, in percent
2.1, -1.4, 3.6, 0.8, -0.5, 4.2, 1.1, -2.3, 2.9, 0.4, 1.7, 3.1
Periods per year
12
Minimum acceptable return, annual
6.5%

Sortino ratio2.45

four months below the 0.5417% monthly target

Open this example

a higher target pulls more periods below it

Period returns, in percent
2.1, -1.4, 3.6, 0.8, -0.5, 4.2, 1.1, -2.3, 2.9, 0.4, 1.7, 3.1
Periods per year
12
Minimum acceptable return, annual
24%

Sortino ratio-1.24

boundary: a 2% monthly target puts seven of twelve periods in the downside set

Open this example

Method and limits

What it assumes

  • The minimum acceptable return is the same rate used as the risk free rate for the comparison Sharpe ratio.

What it deliberately does not model

  • A short series gives an unstable downside deviation, since few observations fall below the target.
  • Implementations differ on the divisor, so a Sortino ratio from another source may not be comparable.

Formula version 1.0.0 · definition 1.0.0 · India · Report a problem with this calculator

Frequently asked questions

Why is my Sortino ratio so much higher than my Sharpe ratio?
Because most of the volatility was upside. The Sharpe ratio counted those good periods as risk and the Sortino ratio does not.