Sortino Ratio Calculator
Sortino = (period return − target return) ÷ downside deviation. Keep all three on the same scale (e.g. all annualized).
Results
Fill in the inputs and click Calculate.
- Sortino Ratio
- –
- Excess Return
- –
Risk disclaimer
A descriptive metric for your inputs — no return forecast and no investment advice.
How is Sortino different from Sharpe?
Sharpe penalizes total volatility, counting upside moves as risk too.
Sortino only penalizes the downside, suiting an evaluation focused on drawdown protection.
How to use
- Enter the period return % (e.g. annualized).
- Enter the target / risk-free return % (default 0).
- Enter downside deviation % on the same scale.
- Click Calculate for Sortino and excess return.
Formula
- Excess return = period return − target return
- Sortino = excess return ÷ downside deviation
Example
Assume 15% annual return, 5% target and 8% downside deviation → Sortino = 10 ÷ 8 = 1.25.
Lower downside deviation raises Sortino for the same excess return.
FAQ
Must the scales match?
Yes. Monthly returns need monthly downside deviation, otherwise the ratio is distorted.
Why ignore upside?
Sortino focuses on the downside only, treating upside moves as gains, not risk.
Can these calculations be executed automatically?
Yes. Work out the parameters and risk limits here first, then hand the same rules to a quant system such as CubeQuants so you don't have to place orders manually. Fills still depend on your exchange, so verify with a small size first.