Sharpe & Sortino Ratio Calculator
Compute Sharpe and Sortino ratios to measure risk-adjusted portfolio returns.
How It Works
Select simple mode to enter your portfolio's annualized return, the risk-free rate (e.g. 10-year Treasury yield), and the portfolio's annualized standard deviation. The calculator instantly computes both the Sharpe ratio (total risk-adjusted return) and the Sortino ratio (downside risk-adjusted return).
Switch to advanced mode to paste a series of periodic returns (daily, monthly, or annual). The tool computes the arithmetic mean, standard deviation of excess returns, and downside deviation (standard deviation of only negative returns). It then annualizes everything based on your selected period and computes both ratios.
FAQ
What does the Sharpe ratio actually tell me?
The Sharpe ratio measures return per unit of total risk (standard deviation). It tells you whether your portfolio's returns come from smart decisions or excessive risk. A ratio above 1 means you're being compensated for the risk taken.
Why should I use Sortino instead of Sharpe?
The Sortino ratio only penalizes downside volatility — the risk of losing money. It ignores upside volatility (gains), which is what investors actually care about. This makes it a more realistic measure for most portfolios.
What is a good Sharpe ratio?
While benchmarks depend on market conditions, a good Sharpe ratio is generally above 1, a very good one above 2, and above 3 is excellent. A Sortino above 2 is considered very strong.
When should I use simple mode vs advanced mode?
Use simple mode if you only know your annualized return, risk-free rate, and standard deviation (from a fund fact sheet, for example). Use advanced mode when you have a raw series of periodic returns and want to calculate the ratios directly from historical data.
Are daily and monthly returns annualized automatically?
Yes. The calculation is annualized regardless of the input frequency. Daily returns are scaled by √252, monthly by √12, and annual returns need no scaling. This ensures ratios are directly comparable across different timeframes.
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