Portfolio Sortino Ratio
Calculator

Using real market data. Search and select assets to calculate your portfolio's Sortino Ratio using historical performance.

Downside Risk Focus

Sortino Ratio measures risk-adjusted returns by focusing only on downside volatility. Unlike Sharpe Ratio, it doesn't penalize upside gains.

Sortino = (Return - Risk-Free) / Downside Deviation

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Current 10-year Treasury yield

Portfolio Sortino Ratio

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Interpreting Your Sortino Ratio

< 0:Returns below risk-free rate - poor performance
0 - 1:High downside risk relative to excess returns
1 - 2:Good - Acceptable downside risk management
2 - 3:Very good - Strong downside protection
> 3:Excellent - Minimal downside volatility

Why Sortino?

Sortino Ratio is better than Sharpe for asymmetric return distributions. It only penalizes harmful volatility (downside), not beneficial upside moves.

Real Market Data

This calculator uses actual historical returns from Supabase to calculate downside deviation, giving you real-world portfolio metrics.

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Calculations are for educational purposes only and do not constitute investment advice. Based on historical data which may not predict future performance.