Sharpe & Sortino Ratio Calculator
A high absolute return means nothing if you took catastrophic risk to achieve it. Use this tool to calculate your risk-adjusted metrics.
Sharpe Ratio
Sortino Ratio
The Math Behind the Metrics
The Sharpe Ratio measures the excess return per unit of total risk (volatility). The flaw? It penalizes upside volatility (e.g., a massive sudden winning streak) exactly the same as downside volatility.
Sharpe = (Annual Return - Risk Free Rate) / Annual Volatility
The Sortino Ratio fixes this by only considering downside deviation as risk. For most retail traders, this is a far more accurate representation of the psychological pain of a strategy.
Sortino = (Annual Return - Risk Free Rate) / Downside Deviation