Sortino Ratio Calculator
Risk-adjusted returns using downside risk only
Why Sortino? Sharpe ratio penalizes big gains as "volatility." That's unfair - you WANT big gains! Sortino only measures downside deviation, making it better for asymmetric assets like crypto.
Calculate Sortino Ratio
MAR or risk-free rate
Sortino Ratio
<0Below Avg
0-1Good
1-2Very Good
2-3Excellent
>3
Calculate from Returns Data
Enter periodic returns - we'll calculate downside deviation automatically
Sharpe vs Sortino
| Sharpe | Sortino | |
|---|---|---|
| Risk Measure | Total volatility | Downside only |
| Penalizes gains? | Yes ✗ | No ✓ |
| Best for | Symmetric returns | Asymmetric (crypto) |
| Typical value | Lower | Higher |
Real Example
Portfolio with 50% annual return:
Sortino is 2x higher because upside volatility doesn't count!
Sortino Ratio FAQ
My Sortino is way higher than Sharpe
Good sign! Means most of your volatility is upside. Your gains are big but losses are controlled. Exactly what you want.
How to calculate downside deviation?
Take only returns below target. Square them, average, then sqrt. Unlike std dev which uses all returns, DD only uses the bad ones.
Target return = 0% vs risk-free?
0% means any loss counts as downside. Using risk-free (~5%) means even small gains below 5% count as "bad." Your choice.
Sortino similar to Sharpe - why?
If your volatility is symmetric (equal up and down), they'll be similar. Crypto usually has asymmetric volatility.
Which do hedge funds use?
Both. Sharpe is industry standard but Sortino is gaining popularity. Sophisticated investors look at multiple risk metrics.
Can I improve Sortino?
Reduce drawdowns (stop losses, hedging) or increase returns. Adding uncorrelated assets that don't dump together helps too.
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