Sharpe & Sortino Ratio Calculator
Measure how much return you're getting for the risk you're taking. The Sharpe and Sortino ratios are the most widely used risk-adjusted return metrics in finance.
What is the Sharpe Ratio?
The Sharpe ratio tells you how much excess return you earn per unit of total risk (standard deviation). A higher Sharpe ratio means you're getting better compensation for the volatility you're taking on. Developed by Nobel laureate William Sharpe, it's the gold standard for comparing portfolio efficiency. A Sharpe above 1.0 is considered good; above 2.0 is excellent.
What is the Sortino Ratio?
The Sortino ratio is a refinement of the Sharpe ratio that only penalizes downside volatility — returns below your target or the risk-free rate. Investors hate losing money more than they enjoy gaining it, and the Sortino ratio reflects this asymmetry. If your portfolio has frequent small gains but rare large losses, your Sortino ratio will look significantly better than your Sharpe ratio.
Why Downside Deviation Matters
Standard deviation treats upside and downside volatility identically, but investors don't mind upside volatility — a 10% gain followed by a 5% gain is fine; a 10% gain followed by a 5% loss feels worse. Downside deviation ignores positive returns entirely, focusing only on the magnitude and frequency of negative returns. This makes the Sortino ratio a more intuitive measure for most long-term investors.
How to use: Choose "Return History" to paste a series of periodic returns (comma-separated) and compute everything from scratch. Choose "Summary Stats" if you already know your portfolio's average return, standard deviation, and downside deviation. The tool annualizes monthly data automatically using the periods-per-year setting.
Sharpe & Sortino Ratio Calculator — Risk-Adjusted Return Metrics
Free Sharpe & Sortino ratio calculator. Measure risk-adjusted returns using return history or summary statistics. Compare your portfolio to benchmarks.