What does Sortino ratio measure?
✅ Higher = more return per unit of downside volatility
Like the Sharpe ratio, but the denominator uses only the volatility of losing days. Winning days do not count as volatility.
Background: Frank A. Sortino, 1980s.
How is Sortino ratio calculated?
(Rₚ − Rᶠ) / σ_down
Rₚ = average daily return × 252 · Rᶠ = risk-free rate from your settings (0 in the Community-Backtests) · σ_down = square root of the average squared loss over all days (gaining days count as 0) × √252
How are values of Sortino ratio usually read?
- < 1.0
- low
- 1.0 – 2.0
- high
- > 2.0
- very high (rarely lasting)
Rules of thumb — where a value lands depends on asset class, period and market phase. A classification is no recommendation.
Worked example with real prices
Three securities from the test data, four allocations, calculated in the portfolio backtester over the same period:
| World equities | Euro government bonds | Gold | CAGR | Sharpe ratio | Sortino ratio |
|---|---|---|---|---|---|
| 100 % | 0 % | 0 % | 12.69 % | 0.73 | 1.01 |
| 60 % | 40 % | 0 % | 8.37 % | 0.69 | 0.95 |
| 40 % | 40 % | 20 % | 7.99 % | 0.80 | 1.12 |
| 0 % | 100 % | 0 % | 1.59 % | -0.06 | -0.08 |
Prices from 13 Nov 2009 to 7 Oct 2026 in euros, starting capital €10,000, annual rebalancing, without order fees and taxes; Sharpe ratio with a risk-free rate of 2 %. Past results are no indication of future ones.
All three securities are in the test data — you can recalculate the example yourself on the free plan.
When is Sortino ratio useful?
When you care mainly about losing days: winning days do not count as volatility here.
What are the limits of Sortino ratio?
Relies only on losing days. With a short history those are few values and the ratio swings widely; with three to five years of history it becomes more stable.
Where do you see Sortino ratio for your own securities?
In the portfolio backtester, Sortino ratio appears for every calculated allocation of your securities. The Watchlist shows it for each individual security.
Last updated: 30 Oct 2026