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 United States 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.
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 examplea 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 exampleMethod 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 · United States · 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.