Calculator
Sharpe & Sortino ratio benchmark calculator
Raw returns hide the volatility and tail risk taken to achieve them. The Sharpe ratio measures excess return per unit of total volatility, the Sortino ratio isolates downside deviation below your minimum acceptable return, and the Information ratio measures active alpha per unit of tracking error.
Sharpe ratio
0.83
9.60% excess return over risk-free
- Sortino ratio
- 1.23
- Penalises downside volatility only
- Information ratio
- 0.82
- Active return per unit of tracking error
- Return over benchmark
- 3.70%
Formula
Sharpe ratio = (R_p − R_f) ÷ σ_total
Sortino ratio = (R_p − R_f) ÷ σ_downside
Information ratio = (R_p − R_b) ÷ Tracking error
How to use it
Enter your portfolio’s annualised return, the risk-free rate, total annualised volatility, downside deviation, benchmark return and active tracking error.
Compare all three institutional risk-adjusted ratios side by side.
Assumptions and limits
- All return and volatility inputs are annualised on the same time basis.
- Sharpe penalises upside and downside volatility equally, whereas Sortino only penalises returns falling below the risk-free or target threshold.
Common questions
When is Sortino more informative than Sharpe?
Strategies with positively skewed payoffs—such as trend-following CTAs or long-option overlays—experience large upside spikes that inflate total volatility. Sortino avoids penalising those upside gains.
What is a strong Information ratio?
Among active institutional managers, an annualised Information ratio above 0.50 is considered solid, and above 1.00 is top-decile.
For education only, not investment advice. Results depend entirely on the inputs and assumptions above; check important numbers independently.