Compute Sharpe and Sortino ratios from portfolio return, risk-free rate, total volatility, and downside volatility.
| Sharpe | – |
| Sortino | – |
Use this for a quick risk-adjusted score on a fund or a portfolio. Treynor and information ratio are not computed here. Keep all percents on the same horizon (often annualised).
Excess = Rp − Rf. Sharpe = excess ÷ σ. Sortino = excess ÷ downside σ. Type 12, 3, 15, 10 for 12% return, 3% risk-free, 15% total vol, 10% downside vol. If a volatility is zero, that ratio is reported as 0.
Portfolio return (%): Return of the portfolio as a percent (same period as the others).
Risk-free (%): Risk-free rate as a percent for that period.
σ total (%): Total volatility (standard deviation of returns) as a percent.
σ downside (%): Downside (or Sortino) volatility as a percent.
Sharpe: Excess return per unit of total vol.
Sortino: Excess return per unit of downside vol.
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