Sortino Ratio Calculator

About this calculator

The Sortino ratio measures risk-adjusted return the way the Sharpe ratio does, but it only penalizes downside volatility — the standard deviation of returns that fall below a chosen target (often the risk-free rate or zero). It's calculated as (portfolio return − target return) ÷ downside deviation. Because upside swings aren't treated as "risk," a strategy with big gains and small losses scores much better on the Sortino ratio than on the Sharpe ratio, which punishes all volatility equally.

Portfolio managers, hedge funds and quantitative analysts use the Sortino ratio to evaluate strategies where upside variance is desirable — options-selling, trend-following or asymmetric-payoff strategies are common examples. Enter the portfolio's average return, the target/minimum acceptable return, and the downside deviation to get the ratio; a higher Sortino ratio means better return per unit of harmful (downside-only) risk.