The Sortino Ratio helps investors evaluate an investment's risk-adjusted return by focusing solely on downside risk, unlike the Sharpe Ratio. Use our free online Sortino Ratio Calculator to analyze portfolio performance, compare funds, and make smarter investment decisions based on volatility below a target return.
Formula:
Sortino Ratio = (Rp - T) / DR
Where:
Rp = Portfolio's Actual Return
T = Target Return (or Minimum Acceptable Return/Risk-Free Rate)
DR = Downside Deviation (Standard deviation of negative asset returns below the target or minimum acceptable return)