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Sortino Ratio Calculator

Calculate a same-horizon Sortino ratio from average return, minimum acceptable return, and downside deviation measured against that same target.

Published

Sortino ratio

Return per unit of downside risk
0.61
Return above MAR
2.98%
Average return
3.11%
MAR
0.13%
Downside deviation
4.891%

Use the result only for comparisons with the same MAR, horizon, sample basis, and downside-deviation method.

%

Average return for one declared horizon.

%

Chosen target return for the same horizon. A risk-free rate may be used only when it is the chosen MAR.

%

Downside deviation computed from the same sample, horizon, and MAR entered above.

Results update as you type.

Same-MAR Sortino scenario

Enter an average return, a minimum acceptable return (MAR), and downside deviation calculated relative to that identical MAR. All three values must use the same horizon and sample basis. A risk-free rate may be entered when it is the MAR you selected; it is not mandatory.

Source-backed definition

The CFA Institute source defines the Sortino ratio as mean return minus MAR, divided by downside deviation calculated relative to MAR:

Sortino ratio=average return−MARdownside deviation relative to the same MAR\text{Sortino ratio} = \frac{\text{average return}-\text{MAR}} {\text{downside deviation relative to the same MAR}}

Different downside-deviation methods can produce materially different values. Relative comparisons require the same MAR, horizon, sample basis, and downside-deviation method.

Publisher arithmetic and example

The calculator subtracts MAR from average return, divides by downside deviation, and rounds the ratio to two decimals. These operations and display rounding are transparent publisher arithmetic.

The defaults are illustrative values, not representative market data. With 3.11% average return, 0.13% MAR, and 4.891% downside deviation:

return above MAR=3.11%−0.13%=2.98%\text{return above MAR}=3.11\%-0.13\%=2.98\% Sortino ratio=2.98/4.891=0.609282…≈0.61\text{Sortino ratio}=2.98/4.891=0.609282\ldots\approx 0.61

The 0.0001% input floor is a calculator safety boundary, not a financial standard. At that floor, the same numerator produces 29,800.00 without implying a favorable classification.

Limits

Small downside samples can be unstable. Stale or appraised prices and serial correlation can suppress measured downside risk. The ratio is complementary and does not measure every risk. No universal threshold, suitability conclusion, prediction, or investment recommendation is provided.

Compare the Sortino ratio with the Sharpe Ratio Calculator, which penalizes total volatility rather than downside deviation only, the Treynor Ratio Calculator, which uses systematic risk, and the Maximum Drawdown Calculator, which captures the worst peak-to-trough path.

Source

Frequently asked questions

How is the Sortino ratio calculated here?
It subtracts the minimum acceptable return (MAR) from the average return, divides by the downside deviation calculated relative to that identical MAR, and rounds the ratio to two decimals. A risk-free rate may be entered when it is the MAR you selected, but it is not mandatory.
Why must all three inputs use the same MAR and horizon?
One minimum acceptable return is used in both the numerator and the downside-deviation construction, and all three values must use the same horizon and sample basis. Different downside-deviation methods can produce materially different values, so relative comparisons require matching conventions.
What are the limits of the Sortino ratio?
Small downside samples can be unstable, and stale or appraised prices and serial correlation can suppress measured downside risk. The ratio is a complement rather than a complete risk assessment, and no universal threshold, suitability conclusion, or investment recommendation is provided.

Sources

  • sortino-cfa-paper

    primary · Aug 10, 2026

    Supports: Sortino ratio definition using downside deviation against a minimum acceptable return, matching the calculator's same-MAR construction.

  • sortino-downside-risk-1991

    secondary · Aug 10, 2026

    Supports: Downside Risk (Journal of Portfolio Management, 1991) introducing the downside-deviation framework the ratio builds on.

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