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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
Sortino ratio
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.

Source

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