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Sortino Ratio
Created OnFebruary 18, 2021
Last Updated OnSeptember 2, 2025
byMilan
Return/risk ratio. The concept and the formula is the same as in the Sharpe ratio. The only difference is that it is calculated using standard deviation of negative returns only as σ – returns below a minimum acceptable return (we use 0% by default).
The Sortino Ratio can be calculated on a daily/monthly/quarterly basis.
The Sortino Ratio can be calculated using 3 different values for the MAR:
- a MAR defined by someone
- the Sharpe ratio risk free rate
- zero (default).
Available risk-free return rates
The ratio can be calculated using the following risk-free return rates:
- Sortino Ratio 0% (Default)
- Sortino Ratio 1.5%
- Sortino Ratio 2%
- Sortino Ratio 3%
- Sortino Ratio 3.5%
- Sortino Ratio (3 Month T-Bill)
- Sortino Ratio (10 Year T-Note)