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Select an input method
Choose Summary Inputs when you already know the average return and downside deviation, or select Return Series for raw data.
Investment Performance Tool
Sortino Ratio Calculator
Measure an investment’s risk-adjusted return by focusing specifically on harmful downside volatility instead of treating all price movements as equally risky.
Calculate the Sortino Ratio
Use summary data or enter a complete return series.
Downside-risk analysis
Please check your input values.
%
Enter the average return for the same period used
by the target return and downside deviation.
%
This may be a required return, benchmark rate, or
minimum acceptable return.
%
This measures only returns that miss the selected
target return.
Enter returns as percentages. You can separate values
with commas, spaces, semicolons, or new lines.
%
Use a target with the same frequency as the return series.
About the metric
What Is the Sortino Ratio?
The Sortino ratio is a performance measurement that compares an investment’s excess return with its downside risk.
Investors use the Sortino ratio to understand how effectively an investment generates returns while limiting harmful volatility. Unlike the Sharpe ratio, the Sortino ratio does not penalize positive price movements.
Instead, it concentrates on returns that fall below a selected target or minimum acceptable return. This makes the ratio useful when an investor views negative volatility as the main source of risk.
Sortino Ratio = (Average Return − Target Return) ÷ Downside Deviation
Annualized ratio = Periodic Sortino Ratio × √Periods per Year
Formula components
- Average return: The mean return generated by the investment during the selected period.
- Target return: The minimum acceptable, benchmark, or required return.
- Downside deviation: The variability of returns that fall below the selected target.
Simple process
How to Use This Sortino Ratio Calculator
Calculate the ratio from existing summary statistics or let the calculator analyze a series of periodic returns.
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Enter return information
Add the investment return, target return, downside deviation, and the number of periods represented by the data.
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Review the result
Select Calculate to view the ratio, excess return, downside deviation, rating, and a plain-language interpretation.
Understanding results
What Is a Good Sortino Ratio?
There is no universal threshold, but these general ranges can help you interpret the result.
| Sortino Ratio | General Interpretation | What It May Indicate |
|---|---|---|
| Below 0 | Poor | The average return is below the selected target return. |
| 0 to 1 | Limited | Positive excess return, but relatively high downside risk. |
| 1 to 2 | Good | A reasonable return compared with harmful volatility. |
| 2 to 3 | Very good | Strong excess return relative to downside deviation. |
| Above 3 | Excellent | Very high excess return compared with measured downside risk. |
Key differences
Sortino Ratio vs. Sharpe Ratio
Both ratios evaluate risk-adjusted performance, but they define investment risk differently.
Sortino Ratio
Uses downside deviation and penalizes only returns that fall below a target. It may be more suitable when negative volatility is the investor’s primary concern.
Sharpe Ratio
Uses total standard deviation, so both positive and negative return fluctuations are treated as risk.
Choosing a Metric
Use both metrics alongside drawdown, volatility, return consistency, fees, liquidity, and the investment’s strategy.
Calculator advantages
Why Use Our Calculator?
The calculator is designed for quick analysis without sacrificing important calculation details.
Two Calculation Modes
Calculate from summary statistics or paste a complete set of monthly, quarterly, weekly, or daily returns.
Optional Annualization
Convert periodic performance into an annualized ratio using an appropriate frequency factor.
Clear Interpretation
Review the ratio together with average return, target return, excess return, and downside deviation.
Common questions
Frequently Asked Questions
Learn more about calculating and interpreting risk-adjusted returns.
It measures the excess return an investment generates for each unit of downside risk. It focuses on returns that fall below a selected target rather than using total volatility.
A higher ratio generally indicates that the investment produced more excess return relative to its downside deviation. However, comparisons should use consistent time periods, targets, and calculation methods.
Yes. A negative ratio means the average investment return was below the minimum acceptable or target return during the measured period.
The target may be zero, a benchmark return, a required return, or the minimum return needed to meet an investment objective. Use the same target consistently when comparing different investments.
The calculator identifies returns below the target, squares their shortfalls, averages the squared shortfalls across all observations, and then calculates the square root.
Annualization is useful when comparing returns measured at monthly, weekly, or daily frequencies. Make sure the selected periods-per-year value matches the frequency of your data.
Yes, but both funds should be evaluated over the same date range, with the same return frequency, target return, and annualization method.
Disclaimer: This calculator is provided for educational and informational purposes only. Its results do not represent investment, financial, tax, or legal advice. Historical risk-adjusted performance does not guarantee future investment results.