Calculator
Sharpe Ratio Calculator
Paste daily returns; get Sharpe, Sortino, Calmar, and Omega side-by-side with a recommendation on which ratio fits your distribution.
Runs in your browser. Nothing you enter is uploaded, and no account or API key is needed.
Inputs
Simple returns as decimals (0.012 = 1.2%). A date column is fine; the last number on each row is used.
Sets the annualization: ×√252 daily, ×√52 weekly, ×√12 monthly.
Subtracted from every return; also the Sortino target.
Sharpe (annualized)
-0.61
Sortino (annualized)
-0.83
Annualized mean excess return -12.7%, volatility 20.8%, downside deviation 15.2%, 504 daily observations.
Other risk-adjusted ratios
Calmar
-0.33
CAGR ÷ max drawdown
Omega
0.91
gains ÷ losses vs rf
Max drawdown
31.6%
peak to trough
CAGR
-10.3%
compound annual return
Which ratio to read
Mean excess return is at or below zero, so both ratios are negative or zero and neither ranks the strategy favorably. Compare the drawdown and the risk-free rate before reading the ratios.
What each ratio measures
- Sharpe: excess return per unit of total volatility.
- Sortino: excess return per unit of downside deviation below the risk-free rate (full-sample divisor).
- Calmar: compound annual return per unit of max drawdown.
- Omega: sum of gains above the risk-free threshold over sum of losses below it (no normality assumption).
How to use it
- Paste one return per row as decimals (0.012 = 1.2%). An asymmetric daily demo loads by default.
- Set the return frequency (daily, weekly or monthly) so the ratios annualize correctly.
- Set the annual risk-free rate. It is subtracted from every return and is also the Sortino target.
- Read Sharpe and Sortino side by side, then Calmar, Omega, max drawdown and CAGR.
- Read which ratio fits: the page compares downside deviation with total volatility, where about 71% is what symmetric returns give.
Questions people ask
When should I use Sharpe vs. Sortino?
Sharpe penalizes both upside and downside volatility — appropriate when you treat all volatility as risk. Sortino penalizes only downside (returns below a target threshold) — appropriate when upside volatility is desirable, like in long-volatility or trend-following strategies. The tool reports both side by side so you can see how they diverge.
What target return should I use for Sortino?
The tool uses the risk-free rate you enter as the Sortino target (the page starts at 4%); set it to 0% to penalize every negative return instead. A minimum acceptable return different from the risk-free rate is not a separate input.
Can Sortino be much higher than Sharpe?
Yes, but mind the baseline: for symmetric returns Sortino is already about 1.4 × Sharpe, because downside deviation over the full sample is about 71% of total volatility. Only a gap well beyond that points to upside-heavy, positively skewed returns; a smaller gap means losses carry more of the volatility. The page reads this from downside deviation ÷ volatility.
How is annualization handled?
Mean excess return × periods per year; volatility and downside deviation × √(periods per year), with the periods set by the frequency you choose: 252 daily, 52 weekly or 12 monthly. The square-root scaling assumes independent returns and overstates the ratios for serially correlated ones.
What's a 'good' Sharpe ratio?
It depends on the strategy and the sample. Broad long-only equity has delivered roughly 0.3 to 0.7 over long periods, and market-neutral funds often aim for 1 or more. A very high Sharpe on a short sample usually reflects the sample, not the strategy.
Guides, formulas and worked examples
- Guide How to Choose Between Sharpe and Sortino
- Comparison Sharpe Ratio vs Sortino Ratio
- Formula Downside Deviation Formula
- Formula Sortino Ratio Formula
- Examples Sharpe vs Sortino Worked Examples
Related tools
- Calculators Risk-Adjusted Returns Calculator
Paste a returns CSV. Sharpe, Sortino, Calmar, Omega, alpha, beta, tracking error, information ratio, max drawdown, and tail moments — plus.
- Calculators Returns Distribution Analyzer
Paste a returns CSV. Histogram, normal QQ plot, skewness, excess kurtosis, Jarque-Bera test, tail-weight index. See why Sharpe alone misleads.
- Calculators 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).
Articles
- 8 min read The Sharpe Ratio Trap
Sharpe ignores tail risk, assumes Gaussian returns, and is trivially gameable. Four metrics to report alongside it: Sortino, Calmar, tail, deflated Sharpe.
- 11 min read Deflated Sharpe Ratio
Bailey-López de Prado (2014) deflated Sharpe ratio, derived from extreme-value statistics, with a Monte Carlo confirmation and the full deflation table.
- 7 min read Sortino vs Sharpe: The Tail-Skew Tradeoff
Same series, Sharpe 2.08 vs Sortino 2.90. The 39% gap is downside-only deviation discarding upside variance. When that read is honest and when it lies.
Use it from code
The same calculation as a JavaScript module you can import. It runs where you import it, with no request, key or rate limit.
import { compute } from "https://aifinhub.io/engines/sharpe-vs-sortino-calculator.js";