Sharpe & Sortino ratio
Turn a raw return into a risk-adjusted one. The Sharpe ratio prices return per unit of total volatility; the Sortino ratio counts only the downside, so it does not penalise upside swings.
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How to use this calculator
Each step names a control you will find on screen above.
- Annual return
The return the strategy or portfolio earned over the period, annualised.
- Risk-free rate
What a near-zero-risk asset paid over the same period — use a current Indian G-sec or T-bill yield, not a US rate.
- Volatility
The standard deviation of the returns. This is the denominator of the Sharpe ratio — the total bumpiness of the ride.
- Downside deviation
The volatility of only the returns below your target. This is the denominator of the Sortino ratio, which ignores upside swings.
Worked example: 15% return, 6% risk-free
A 15% return over a 6% risk-free rate, with 12% volatility and 8% downside deviation.
What to enter
- Annual return
- 15%
- Risk-free rate
- 6%
- Volatility
- 12%
- Downside deviation
- 8%
What it shows you
- Excess return
- 9%
- Sharpe ratio
- 0.75
- Sortino ratio
- 1.13
- Reading
- Sharpe under 1 — weak
Where this is taught
A calculator gives you a number. These explain what the number means and when it misleads you.
- Technical Analysis10 minSharpe and Sortino: return you can compareA raw return means nothing until you know the risk taken to earn it. How the Sharpe ratio prices return per unit of volatility, why the Sortino ratio fixes its biggest flaw, and what counts as good.
- Technical Analysis10 minBollinger Bands and measuring volatilityBands that adapt to volatility, the squeeze that precedes big moves, and why ATR should decide your stop distance.
- Technical Analysis11 minEvery stock has a personalityThe same setup behaves differently on different instruments. Knowing how a stock habitually moves is an edge that only comes from watching the same names for years.
- Technical Analysis12 minReading a strategy reportSharpe, profit factor, max drawdown, MAR. What each metric hides, which one to trust, and the single number most reports leave out.
- Technical Analysis10 minRisk parity: balance the risk, not the moneyA 60/40 portfolio is not 60/40 in risk — equities dominate almost all of it. Risk parity sizes holdings so each contributes equal risk, and why that idea both helps and hides a catch.