Calculate the Sortino ratio to evaluate excess return per unit of downside risk. Unlike the Sharpe ratio, this metric only penalizes negative volatility below the target return.

Average Return: 1.88%
Excess Return: 1.88%
Downside Deviation: 1.88%
Sortino Ratio: 1.00
Interpretation: Moderate — reasonable risk-adjusted return.

Formula: Sortino = (Rp − MAR) ÷ LPSD. LPSD is the standard deviation of returns below MAR. Higher values indicate better downside-risk-adjusted performance.

What is the Sortino Ratio?

The Sortino ratio is a risk-adjusted performance metric developed by Frank Sortino as an improvement over the Sharpe ratio[citation:5][citation:10]. While the Sharpe ratio penalizes all volatility equally — both upside and downside — the Sortino ratio focuses exclusively on downside deviation, or volatility below a chosen target[citation:1][citation:5].

Sortino Ratio = (R_p − MAR) ÷ LPSD

Where:

• R_p — average return of the portfolio or investment
• MAR — Minimum Acceptable Return (target return, often 0% or risk-free rate)[citation:4]
• LPSD — lower partial standard deviation (downside deviation)[citation:11]

Key advantages:

• Focuses on harmful risk — doesn't penalize positive volatility
• Flexible target — MAR can be 0%, risk-free rate, or any desired return[citation:3]
• Better for skewed distributions — more appropriate when returns are not symmetric[citation:11]

Interpretation guide[citation:3][citation:11]:

• > 2.0 — excellent
• 1.0 – 2.0 — good
• 0.5 – 1.0 — moderate
• < 0.5 — poor
• Negative — returns below MAR on average

How to Use This Calculator

1. Enter period returns: Input the returns for each period separated by commas (e.g., 5.2, -2.1, 3.8, -1.5, 4.0). Monthly returns are recommended. Enter as percentages (e.g., 5.2 for 5.2%).
2. Set MAR (Minimum Acceptable Return): Enter the threshold return in percent. Common choices: 0% (no loss), risk-free rate, or your target return[citation:3][citation:4].
3. Calculate: Click the “Calculate Sortino Ratio” button.
4. Reset: Use “Reset” to restore default values.
5. Interpretation: The result shows the Sortino ratio with a guide. A higher ratio indicates better compensation for downside risk. For example, a ratio of 1.25 means the portfolio earns 1.25 units of excess return per unit of downside deviation[citation:11].