Sortino Ratio Calculator
Measure your strategy's risk-adjusted performance using the Sortino Ratio. Enter your returns, risk-free rate, and frequency to see your annualized downside-risk-adjusted return.
Enter periodic returns as percentages (e.g. 1.2 = 1.2%), separated by commas or new lines
Use your benchmark risk-free rate (e.g. T-bills)
Select the frequency of your return data
Enter your return series, risk-free rate, and frequency, then click Calculate Sortino Ratio to see your downside-risk-adjusted performance metrics.
Related Tools
Sortino Ratio Formula
Excess Return = Return - Risk-free Rate
Downside Deviation = sqrt( sum( min(0, r - Rf)² ) / N )
Sortino (periodic) = Mean Excess Return / Downside Deviation
Sortino (annual) = Sortino (periodic) × √(periods per year)