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Sortino Ratio Calculator.

Calculate downside-risk-adjusted return.

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Sortino ratio: 2

Sortino ratio

2.0000

FAQs

How does the sortino ratio calculator work?

Enter the requested values to receive a deterministic result. No live market, tax, or jurisdiction data is inferred.

Cite this calculator

Canonical URL: https://mathify.one/fr/finance/sortino-ratio

Cite as: Mathify. (2026). Calculatrice: Sortino Ratio. https://mathify.one/fr/finance/sortino-ratio

Use Cases

Assess portfolio risk management

Portfolio managers can use the Sortino ratio to monitor and adjust their portfolios to minimize downside risk while maintaining returns, especially in volatile markets.

Example: A portfolio manager might rebalance assets to improve the Sortino ratio, reducing exposure to high-downside-risk assets.

Frequently Asked Questions

What is the Sortino ratio?
The Sortino ratio is a financial metric that measures the risk-adjusted return of an investment by dividing the excess return over a target return by the downside deviation. It focuses only on downside volatility, providing a clearer picture of an investment's performance relative to its downside risk.
How is the Sortino ratio different from the Sharpe ratio?
Unlike the Sharpe ratio, which uses total volatility (standard deviation) as the risk measure, the Sortino ratio uses only downside deviation. This means it penalizes only downside volatility, not upside volatility, making it more relevant for investors who are concerned about downside risk.
What is a good Sortino ratio?
A higher Sortino ratio indicates better risk-adjusted returns. Generally, a ratio above 1 is considered acceptable, above 2 is very good, and above 3 is excellent. However, the ideal value can vary depending on the investment strategy and market conditions.

Tips & Common Mistakes

Tips

  • Ensure you use consistent time periods for returns (e.g., monthly, annual) when calculating the Sortino ratio to get accurate results.
  • Choose a target return that reflects your investment objective, such as a risk-free rate or a minimum acceptable return.
  • Use historical data over a sufficient period to capture various market conditions and make the ratio more reliable.
  • Compare Sortino ratios across similar asset classes or investment strategies for meaningful insights.

Common Mistakes to Avoid

  • Using total standard deviation instead of downside deviation, which overestimates risk and understates the Sortino ratio.
  • Setting the target return too high or too low, which can distort the ratio and lead to misleading conclusions.
  • Ignoring the impact of the time period – using inconsistent periods can make the ratio incomparable across investments.

Last updated: August 13, 2026