Sortino Ratio Calculator

Sharpe's fairer sibling: it only punishes downside volatility. A strategy with violent rallies and quiet dips gets the credit Sharpe denies it.

Annual return

Risk-free rate

Downside deviation

Results (live)

Sortino ratio1.01

vs Sharpehigher, since only downside vol counts

Estimates only, not financial advice. All math runs in your browser; nothing you type leaves this page.

How it works

Sortino = (return − risk-free) ÷ downside deviation

Worked example

The same 40% return with downside deviation of 35% scores 1.01, versus a 0.59 Sharpe. The gap measures how much of the volatility was the good kind.

FAQ

When should I prefer Sortino over Sharpe?

For asymmetric strategies: trend-following, options buying, anything designed to lose small and win big. Sharpe mislabels their upside explosions as risk.

What is downside deviation exactly?

Standard deviation computed only on returns below a threshold, usually zero or the risk-free rate.

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Estimates only, not financial, tax or investment advice. Verify numbers against your exchange or a professional before acting.