Sortino Ratio Calculator Pro
Calculate the Sortino Ratio using summary inputs or a full return series, compare it against the Sharpe Ratio to see why downside deviation matters, run Minimum Acceptable Return scenarios, and benchmark your portfolio's risk-adjusted performance side by side with any index or strategy.
Paste periodic returns (monthly, weekly, or daily). One value per line or comma-separated. Use decimal (0.05) or percentage (5.0) format.
| Variable | Sortino | Excess/DD | Rating | vs Mid |
|---|
Compare the Sortino and Sharpe ratios of your portfolio against a benchmark or alternative strategy.
| Metric | Portfolio | Benchmark | Advantage |
|---|
Sortino Ratio — Formula
Sortino = (Rp − MAR) / σd
Rp = Portfolio annualized return
MAR = Minimum Acceptable Return
σd = Downside Deviation
= √[Σ min(Rᵢ−MAR, 0)² / n]
The key difference from Sharpe: only returns below the MAR count as risk. Upside volatility is not penalized.
Sortino Ratio — Interpretation
| Sortino | Rating | Meaning |
|---|---|---|
| > 3.0 | Exceptional | Elite hedge-fund-level performance |
| 2.0 – 3.0 | Excellent | Outstanding risk-adjusted returns |
| 1.0 – 2.0 | Good | Solid — better than most benchmarks |
| 0.5 – 1.0 | Acceptable | Average — further optimization possible |
| 0 – 0.5 | Poor | Downside risk outweighs excess return |
| < 0 | Negative | Return below MAR — unacceptable |
Sortino vs Sharpe — Key Differences
| Feature | Sharpe | Sortino |
|---|---|---|
| Risk measure | Total σ (all moves) | σd (downside only) |
| Penalizes upside? | Yes | No |
| Baseline | Risk-free rate | MAR (flexible) |
| Skewed returns | Misleading | More accurate |
| Sortino/Sharpe > 1 | — | More upside than downside vol |
MAR — Minimum Acceptable Return
The MAR defines what counts as a "losing" period. Common choices:
- MAR = 0% — any loss counts as downside. Useful for capital-preservation-focused investors.
- MAR = Risk-Free Rate — returns below the cash rate count as downside. Most common for performance evaluation.
- MAR = Inflation Rate — returns below inflation count as real losses. Relevant for endowments and pension funds.
- MAR = Benchmark Return — underperformance vs benchmark counts as downside. Relevant for active managers.
Downside Deviation — Calculation
Downside deviation only counts periods where returns fall below the MAR:
σd = √[Σ min(Rᵢ − MAR, 0)² / n]
Key notes:
• n = TOTAL number of periods (not just bad ones)
• Positive excess returns contribute 0, not negative
• This means adding more good months reduces σd
• Annualize: σd_ann = σd_period × √(periods per year)
When to Use Sortino vs Sharpe
- Use Sortino when: comparing strategies with different return skewness, evaluating options strategies, assessing momentum strategies, or when investors have asymmetric loss aversion.
- Use Sharpe when: comparing symmetric strategies, for regulatory and fund reporting (Sharpe is the industry standard), or when the portfolio has low skewness.
- Sortino/Sharpe ratio > 1.5 signals the strategy has substantially more upside volatility than downside — a desirable skewness profile.
- Watch out for: a high Sortino with low return — if excess return is near zero, even tiny downside deviation produces a misleadingly large ratio.
What each tab calculates
Sortino
Calculates Sortino = (Return − MAR) / Downside Deviation from summary inputs. Shows Sharpe for comparison, Sortino/Sharpe ratio, excess return over MAR and RF rate, upside capture ratio (DD/σ), and return quality rating. Bar chart compares Sortino vs Sharpe side by side.
Return Series
Calculates Sortino directly from a pasted return series. Computes downside deviation, annualized volatility and return, max drawdown, percentage of periods below MAR, and Sharpe vs Sortino — all from raw data. Histogram shows the return distribution with MAR threshold line.
Scenarios
Runs sensitivity analysis varying MAR, downside deviation, or portfolio return across a user-defined range. Shows a full table and line chart of how Sortino changes across the scenario range, with color-coded ratings and comparison vs mid-point. Reveals which inputs most affect the ratio.
Benchmark
Compares portfolio vs benchmark across 6 metrics: Sortino, Sharpe, excess return over RF, downside deviation, total volatility, and Sortino/Sharpe ratio. Color-codes the winner for each metric, shows advantage direction, and renders a grouped bar chart of all metrics side by side.
Interpret
A static reference guide covering the Sortino formula, rating scale (Exceptional to Negative), Sortino vs Sharpe comparison table, MAR selection guide (0%, RF rate, inflation, benchmark), downside deviation calculation notes, and guidance on when to use each ratio.