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Sortino Ratio Calculator
Risk-adjusted return relative to downside volatility only.
Sortino Ratio
0.86
The Sortino ratio divides excess return by downside deviation — the standard deviation of only the negative returns — rather than total volatility.
This makes it more forgiving of strategies with large upside swings and small, infrequent downside moves, which the Sharpe ratio would otherwise penalize equally to symmetric volatility.
FAQ
How is Sortino different from Sharpe?
Sortino only penalizes downside volatility (returns below a target), while Sharpe penalizes total volatility including upside swings — making Sortino arguably a fairer risk measure for asymmetric strategies.
What's a good Sortino ratio?
As with Sharpe, higher is better — above 2 is often considered strong, though the right benchmark depends on the strategy and time horizon being evaluated.