Sortino Ratio Calculator
Enter the annualised return, minimum acceptable return (MAR), and downside volatility to compute the downside-risk-adjusted return (Sortino ratio).
Input Data
Results
At a glance:The Sortino ratio is excess return over the MAR divided by downside volatility, rewarding return while ignoring upside volatility.
Formula
sortino = (returnRate − riskFreeRate) / downsideVol
How to Use
- Enter the annualised return and the MAR.
- Enter the downside volatility.
- Review the Sortino ratio and rating (above 1 good, above 2 excellent).
FAQ
How is Sortino different from Sharpe?
Same numerator, different denominator. Sharpe uses total volatility (including helpful upside); Sortino uses only downside volatility. When an aggressive asset has large upside swings, Sortino is higher than Sharpe and fairer.
How do I get the downside volatility?
Compute it from the historical return series: take only the periods below the MAR, square their deviations from the MAR, average and square-root. This tool takes that value directly (usually provided by data platforms).
What MAR should I use?
Commonly the risk-free rate or your minimum required return. A higher MAR raises the downside denominator and lowers Sortino; keep it consistent with your benchmark.
How high is a good Sortino?
Similar to Sharpe: above 1 good, above 2 excellent, above 3 outstanding — but values are generally higher than Sharpe (smaller denominator). Compare within the same category.
What if the downside volatility is zero?
It means the sample never fell below the MAR, so the denominator is zero and Sortino is meaningless. This tool shows 'not applicable'.
What does a negative Sortino mean?
The return is below the MAR — taking downside risk yet failing to clear the threshold. Review whether the allocation is wrong or it is just a temporary drawdown.
References
Content review: Calculatorism Science Team. Results are for reference only; please refer to the relevant authorities for the official figures.