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Tools — Sharpe & Sortino Ratio Calculator

Sharpe & Sortino Ratio Calculator

Paste a series of periodic returns to get risk-adjusted performance in one shot — Sharpe Ratio (volatility-adjusted) and Sortino Ratio (downside-risk-adjusted), annualized.

Return Series

Results

Sharpe Ratio —
Sortino Ratio —
Annualized Return —
Annualized Volatility —

Sharpe uses total volatility (sample std dev); Sortino only penalizes downside moves below the risk-free rate. Both annualize using √(periods per year); the risk-free rate is de-annualized by simple division, not compounding.

How to read Sharpe & Sortino

Sharpe Ratio divides your average excess return (return minus the risk-free rate) by the volatility of ALL returns, so a strategy that swings up just as much as it swings down gets penalized the same as one that only swings down. Sortino Ratio fixes that by only counting downside deviations below the risk-free rate in its denominator — a strategy with big upside spikes and small, controlled losses will show a much higher Sortino than Sharpe. As a rough guide, a Sharpe or Sortino above 1 is considered acceptable, above 2 is very good, and above 3 is excellent — but always compare strategies over the same period length and frequency, since short or lucky samples can produce misleadingly high ratios.

Frequently Asked Questions

What's a good Sharpe ratio?
As a rough guide: below 1 is considered sub-par, 1–2 is acceptable to good, 2–3 is very good, and above 3 is excellent — though these thresholds vary by asset class and time horizon. A short or lucky sample of returns can produce a misleadingly high ratio, so more data points generally give a more reliable reading.
Why does Sortino differ from Sharpe?
Sharpe's denominator (standard deviation) treats upside and downside volatility as equally "risky", so a strategy with occasional large gains gets penalized for that upside just like it would for downside losses. Sortino's denominator (downside deviation) only counts returns that fall below the risk-free rate, so strategies with asymmetric, upside-skewed returns score noticeably higher on Sortino than on Sharpe.
How should I choose the frequency and how many returns to enter?
Pick the frequency that matches your data — daily, weekly, monthly, quarterly or annual returns — and the calculator annualizes using the square root of that frequency. More periods generally give a more statistically reliable ratio; a handful of returns can swing wildly with a single outlier, so at least 20-30 periods is a reasonable minimum for a meaningful read.

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