What this calculator does
Sortino ratio works out risk-adjusted return that only penalises downside volatility. Enter your own figures above and the answer updates as you type: nothing is fixed in the code, so the result reflects exactly the numbers you supply.
The formula this calculator evaluates is printed under the tool and explained below, so you can check the working by hand or reuse it in a spreadsheet.
The formula
FormulaSortino ratio = (Average return − Risk-free rate) / Downside deviation; downside deviation uses only below-zero returns (positive returns treated as 0)
The inputs explained
| Field | What to enter |
|---|---|
| Period returns (%, comma separated) | A list of numbers, separated by commas or spaces. |
| Risk-free rate per period (%) | A number, measured in %. Starts at 0.2. |
Worked examples
Every figure in the tables below is produced by this page’s own calculator at build time, so the numbers and the tool always agree. Select any row to load that scenario.
How the answer changes with risk-free rate per period
Every other input is held at the calculator’s starting values while risk-free rate per period varies. Select any row to load that scenario into the calculator.