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Portfolio calculator

Sortino Ratio Calculator

Estimate return relative to downside volatility instead of total volatility. The calculation keeps the same local-data portfolio engine used by the other risk tools.

Examples: NVDA 40%, MSFT 30%, GOOG 30% or ticker-only lines for equal weights. Up to 10 long-only holdings.

Enter 4 for 4% per year. Default: 0%.

Methodology

  • Daily excess returns are measured against the selected annual risk-free rate converted to a daily rate.
  • Downside deviation uses only negative excess-return shortfalls, so upside volatility is not penalized.
  • Holdings are long-only and capped at 10 symbols to keep anonymous requests lightweight.
  • At least 252 common dividend-adjusted return observations are required before a public result is shown.

Historical returns use dividend-adjusted prices. Calculations are research outputs and are not investment advice.

Worked Example

If a portfolio has strong upside swings but relatively few downside shortfalls, its Sortino ratio can be higher than its Sharpe ratio for the same lookback.

The default sample uses NVDA 40%, MSFT 30%, GOOG 30% with the 3Y lookback and SPY as benchmark context.

How is Sortino different from Sharpe?

Sharpe uses total volatility. Sortino focuses on downside deviation below the daily risk-free hurdle.

Why can Sortino be unavailable?

If there are no downside shortfalls in the shared history, the denominator is zero and the ratio is not defined.

Does the benchmark affect the ratio?

No. SPY is shown as context; the portfolio ratio is calculated from the submitted holdings.

Related tools

Portfolio Drawdown Calculator Portfolio Volatility Calculator Sharpe Ratio Calculator