Sortino Ratio Calculator

Downside-risk-adjusted return.

Sortino ratio 1.5

Step-by-step with your numbers:

1. Values used:

2. Portfolio return = 12 %

3. Risk-free rate = 3 %

4. Downside deviation = 6 %

5. Sortino ratio = 1.5

Did we solve your problem today?

Like Sharpe but only penalizes downside volatility.

FAQ

Which is better?

Sortino is more relevant when upside volatility is welcome.