Sharpe & Sortino ratio calculator
Return per unit of risk taken.
Interactive: Sharpe & Sortino ratioEasy
Return alone says nothing. These two ratios ask the only question that matters: how much risk was taken to get it?
- Excess return
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- Sharpe ratio
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- Sortino ratio
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- Reading
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Sortino divides by downside deviation only, rewarding strategies whose volatility is mostly upside. Both are gameable by strategies that sell rare disasters — a steady 2.0 Sharpe from selling options says nothing about the year the disaster arrives.
The idea behind it
This calculator belongs to Alternatives & Private Markets, where the mechanism it computes is explained step by step, with the formula, what each input means and where the simple model stops being right. Everything is computed in your browser; nothing you type is sent anywhere.
Instruments it applies to
- Private Equity Fund — Buy whole companies with borrowed money, improve or re-lever them, sell in five years — finance's ownership business.
- Venture Capital — Portfolios of long shots: most investments die, one pays for everything — the power law as an asset class.
- Private Credit — The shadow banking success story: funds replaced banks as lenders to the buyout world, and kept growing.
- Catastrophe Bond — Earn double-digit yields for insuring hurricanes — the asset class genuinely uncorrelated with markets.
- Infrastructure Funds — Owning the pipes, ports, towers and grids — cash flows measured in decades, contracts measured in inflation clauses.
- Annuity — The only product that pays until you die. You are not buying a return — you are buying insurance against outliving your money, and the price is your capital.
- Timberland & Farmland — Assets that grow while you wait. The only investment whose inventory increases in volume when you decline to sell it — and the reason institutions treat them as a category of their own.
- P2P & Marketplace Loan — Retail investors funding consumer and business loans through a platform. Real credit risk, real yields, and a business model that has repeatedly discovered it was a lender all along.
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