Sortino ratio
The Sortino ratio measures how much return a portfolio earned per unit of downside volatility. Unlike the Sharpe ratio it counts only losing swings and ignores strong upward jumps. Values above 1 are considered good. It almost always sits above the Sharpe ratio of the same portfolio.
- Below zero
- Return fell short of the risk-free rate. Because only downside swings sit in the denominator, this happens less often than with the Sharpe ratio.
- Unremarkable
- The excess return compensates for downside risk without standing out. The usual range for broadly diversified portfolios.
- Considered good
- The portfolio earned noticeably more than the downside movement it had to absorb.
- Unusually high
- Check the length of the history first. Over short periods without a real setback the denominator gets very small and the ratio shoots up.
How it is calculated
Sortino = ( R[portfolio] − R[risk-free] ) / σ[downside]
The same portfolio as in the Sharpe example: 7.2 % return per year, 2.4 % risk-free. Total volatility was 12.8 %, but downside volatility alone was only 8.7 %.
- Return p.a.
- 7.2 %
- Risk-free
- 2.4 %
- Downside vol.
- 8.7 %
- Sortino
- 0.55
What the number does not tell you
- It needs more data than the Sharpe ratio. Only losing days enter the denominator. In a calm year so few remain that the value depends heavily on chance.
- It says nothing about the depth of any single decline. Many small losing days and one crash can produce the same downside volatility. How much it actually hurt only shows in maximum drawdown.
- The reference threshold is not standardised. Some providers measure downside volatility against zero, others against the risk-free rate. Values from different sources are therefore not always comparable.
Related metrics
How Evergrova calculates it
Sortino sits directly next to the Sharpe ratio on the Performance & Risk page, so the gap between the two is visible at a glance.
Data basis: daily returns over the selected window; risk-free rate = short-term money market rate.
View the demo portfolioCommon questions
Why is my Sortino ratio higher than my Sharpe ratio?
Because the denominator holds only downside volatility, which is smaller than total volatility. A wide gap means a noticeable share of the movement went upwards.
What is a good Sortino ratio?
Above 1 is considered good. Because the denominator is smaller, that threshold is effectively stricter than for Sharpe: a portfolio with Sharpe 1.0 often reaches Sortino 1.3 to 1.6.
Does Sortino replace the Sharpe ratio?
No. Sharpe is the more common number and therefore easier to compare. Sortino adds the question of whether the volatility went in the unpleasant direction at all.
Last reviewed: 2026-08-08