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
Sharpe Ratio Calculator
Measure risk-adjusted return using total volatility
Risk of Ruin Calculator
Calculate probability of account blowup
Kelly Criterion Calculator
Find optimal position size for your edge
Want the bigger picture? See the full risk management framework →
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)