How to use Sharpe vs Sortino Calculator
Paste daily returns. The page reports Sharpe, Sortino, Calmar, and Omega side-by-side with a recommendation on which ratio fits the distribution rather than just the one that flatters the strategy.
What It Does
Use the calculator with intent
Paste daily returns. The page reports Sharpe, Sortino, Calmar, and Omega side-by-side with a recommendation on which ratio fits the distribution rather than just the one that flatters the strategy.
Strategy reporters who need to know not just what each risk-adjusted ratio says but which one to lead with for an honest report.
Interpreting Results
If the distribution is approximately Gaussian, Sharpe and Sortino track each other; lead with Sharpe. If returns are heavily skewed or fat-tailed, Sortino or CVaR-based ratios tell a more accurate story.
Input Steps
Field by field
- 1
Upload data
Upload your return series.
- 2
Set parameters
Set target return for Sortino (default 0%; risk-free rate is another common choice).
- 3
Set parameters
Set the period frequency (daily/weekly/monthly) so annualization is correct.
- 4
Read outputs
Read Sharpe and Sortino side-by-side. The ratio between them tells you about return skew.
- 5
Compare results
Compare against your strategy peer group. Long-only equity Sharpe typically 0.3-0.7; market-neutral 1.0-1.5; HF-style 1.5+.
Common Scenarios
Use realistic starting points
Roughly Gaussian daily returns
Skew
near 0
Kurtosis
near 3
Sharpe and Sortino very close. Lead with Sharpe; mention Sortino as confirmation.
Heavily right-skewed (trend) returns
Skew
+1.5
Kurtosis
elevated
Sortino noticeably higher than Sharpe (good news from the asymmetric upside is rewarded). Lead with Sortino to give an honest picture.
Try These Tools
Run the numbers next
Risk-Adjusted Returns Calculator
Paste a returns CSV. Sharpe, Sortino, Calmar, Omega, alpha, beta, tracking error, information ratio, max drawdown, and tail moments — plus.
Returns Distribution Analyzer
Paste a returns CSV. Histogram, normal-overlay, QQ plot, skewness, excess kurtosis, Jarque-Bera test, tail-weight index. See why Sharpe alone misleads.
Deflated Sharpe Ratio Calculator
Bailey & López de Prado deflated Sharpe — corrects observed Sharpe for selection bias across K trials. Reports deflated Sharpe, PSR (probability of skill).
FAQ
Questions people ask next
The short answers readers usually want after the first pass.
Related Content
Keep the topic connected
Sharpe Ratio
Sharpe ratio defined, when it lies (skew, fat tails, autocorrelation), and how to read a Sharpe number you didn't compute yourself.
Sortino Ratio
Sortino ratio: same numerator as Sharpe, denominator only counts downside volatility. When it's the right number to look at.
Sharpe vs Sortino
Sharpe vs Sortino: when the gap between the two tells you something real about a strategy's tail behaviour — and when it's just noise from a small sample.
Drawdown
Drawdown explained: peak-to-trough decline, why max drawdown alone is misleading, and the recovery math that actually matters.