FINANCE / DOWNSIDE RISK
Compare portfolio return above a selected target with downside deviation measured on the same basis.
METHOD / WORKED EXAMPLE
Sortino uses downside deviation instead of total volatility, so observations above the target are not counted as harmful variation.
WORKED DEFAULT
With a 12% portfolio return, 4% target return, and 8% downside deviation on the same basis, return above target is 8 percentage points and the Sortino ratio is 1.
READ THE RESULT
A positive ratio means the supplied return exceeded the target. Compare ratios only when periodicity, target, return method, and downside-deviation method match.
ASSUMPTIONS AND LIMITS
This page accepts an already calculated downside deviation; it does not infer one from a return history or compare investments for you.
COMMON QUESTIONS
Sortino uses downside deviation relative to a target, while Sharpe commonly uses total standard deviation relative to a risk-free return. Sortino therefore does not penalize upside variation in the same way.
Not directly. Return, target, and downside deviation must use a consistent period and annualization method. Convert all components with a documented convention before comparing results.
Calculating downside deviation properly requires a return series, target, periodicity, missing-data policy, and a stated denominator convention. This focused calculator lets you enter a reviewed downside-deviation result rather than hiding those choices.
RELATED TOOLS
Use boundary
The calculator subtracts the target return from portfolio return and divides the difference by the supplied downside deviation.
Sortino ratio = (portfolio return - target return) / downside deviation.