Sharpe and Sortino Ratio Calculator
Compare total and downside dispersion using entered periodic returns and consistent periodic targets.
YOUR CALCULATION
Result
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Calculation steps
Work through one step at a time or reveal the complete calculation. The steps use your current inputs.
How to calculate
Use sample standard deviation for Sharpe and root-mean-square shortfall from the target over all observations for Sortino.
Sharpe=(mean−risk-free)/sample SD; Sortino=(mean−target)/sqrt(mean(min(0,r−target)²))
Worked example
For returns +10%, −10%, risk-free and target zero, both numerators are zero; both ratios are zero despite nonzero risk.
Assumptions and input details
Undefined when its denominator is zero. Sortino uses all n observations, not only negative observations, and the user target rather than automatically using the risk-free rate. Annualized ratios multiply periodic ratios by √frequency; independence and comparable intervals are assumed. Historical ratios do not predict future performance. No live market data or national tax rules are inferred. Enter consistent amounts in one currency unless explicitly stated otherwise.
References: CFA Institute: risk-adjusted performance measures
Using this calculator
Can I enter my own problem?
Yes. Replace the example values with your own inputs. The result, calculation steps, tables and applicable diagrams update from those inputs. Blank or invalid values clear the result; example values are never silently substituted for missing inputs.
Are the results exact?
Results use floating-point arithmetic and displayed rounding. Read the formula, assumptions and any stated data precision before interpreting the result.
Is my input uploaded?
The calculation runs in your browser. No account, file upload or external AI service is required. Inputs are not saved between page reloads.
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