Free tool
Sortino ratio calculator — punish drawdowns, not upside.
Paste periodic returns, set your minimum acceptable return, and get downside deviation plus the per-period and annualized Sortino ratio — the definition documented in our glossary entry. Runs entirely in your browser.
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The formula
Sortino = (mean(R) − MAR) / DD DD = sqrt( mean( min(R − MAR, 0)² ) )
Annualization for daily data multiplies by √252. How Sortino sits against Sharpe, Calmar and Omega — and when each one misleads — is covered in the pillar guide on risk-adjusted returns.
Frequently asked questions
- What does the Sortino ratio measure?
- Risk-adjusted return where "risk" counts only the downside. Sortino divides excess return over your minimum acceptable return (MAR) by the downside deviation — the RMS of below-MAR periods. Unlike Sharpe, it does not punish upside volatility: a strategy with big positive months and small drawdowns scores much better on Sortino than on Sharpe.
- How is downside deviation computed here?
- As the square root of the mean of squared below-MAR deviations, averaged over the FULL sample size — the standard convention. Dividing only by the count of negative periods (a common spreadsheet mistake) overstates the ratio. The calculation runs entirely in your browser; nothing is uploaded.
- What MAR should I use?
- Zero is the most common choice (any loss counts as downside). Some practitioners use the risk-free rate per period, or a target like an inflation assumption. The MAR is your definition of "unacceptable" — the calculator lets you set it per period so you can see how sensitive the ratio is.
- What is a good Sortino ratio?
- Context-dependent — asset class, period and MAR all matter, so treat any universal threshold with suspicion. As a rough industry rule of thumb, annualized values above 1 are considered decent and above 2 strong. Comparing the same portfolio across periods, or two portfolios on the same period, is far more meaningful than any absolute cut-off.
- Is this financial advice?
- No. This is an educational calculator computing descriptive statistics of the sample you paste. Outputs are illustrative and not a recommendation. For personalized advice, consult a licensed financial advisor.
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