# Sharpe and Sortino Calculator > Free Sharpe and Sortino ratio calculator. Paste your monthly, weekly or daily returns and get annualised return, volatility, Sharpe and Sortino ratios. Source: https://learn.tradelabsai.com/tools/sharpe-and-sortino-calculator/ Track: Calculators · Level: Beginner · Updated: 2026-10-03 Publisher: TradeLabs AI (https://tradelabsai.com). Education, not financial advice. Cite as: TradeLabs Learn, "Sharpe and Sortino Calculator", https://learn.tradelabsai.com/tools/sharpe-and-sortino-calculator/ The Sharpe and Sortino ratios measure how much return a strategy earns for the risk it takes. The Sharpe ratio uses total volatility; the Sortino ratio uses only downside volatility, so it does not penalise big gains. Paste a list of periodic returns, choose how many periods make a year and enter the risk free rate, and this calculator annualises everything for you. It is a quick way to check a backtest, a fund's monthly figures or your own trading results. ## Calculator *Interactive calculator: use it at https://learn.tradelabsai.com/tools/sharpe-and-sortino-calculator/* ## How it works ``` Excess return per period = Return - (Risk free rate / Periods per year) Sharpe ratio = Mean excess return / Standard deviation of excess returns × √(Periods per year) Downside deviation = √(Average of min(Excess return, 0)²) Sortino ratio = Mean excess return / Downside deviation × √(Periods per year) ``` The target for the Sortino ratio here is the risk free rate. The annualised return shown is the simple mean times periods per year, not a compounded figure. See [Sharpe Ratio](https://learn.tradelabsai.com/portfolio/sharpe-ratio/) and [Sortino Ratio](https://learn.tradelabsai.com/portfolio/sortino-ratio/). **Example: Twelve monthly returns** The sample data has 12 monthly returns averaging about 0.71%, an annualised simple return of about 8.5%, with annualised volatility of about 6.2%. With a 4% risk free rate, the Sharpe ratio is about 0.72. Only four of the months fall below the monthly risk free rate, and the losses are modest, so downside deviation is smaller than total volatility and the Sortino ratio is higher, about 1.17. Twelve months is far too short to judge a strategy reliably; the standard error of a Sharpe ratio over one year is roughly 1.0. See [Statistical Significance in Trading](https://learn.tradelabsai.com/math/statistical-significance/). ## Interpreting the results | Sharpe ratio | Typical interpretation | |---|---| | Below 0 | Worse than the risk free rate | | 0 to 0.5 | Weak | | 0.5 to 1.0 | Decent | | 1.0 to 2.0 | Very good if sustained live | | Above 2.0 | Exceptional, or a sign of overfitting in backtests | A large gap between Sortino and Sharpe suggests positively skewed returns, with bigger gains than losses. A Sortino close to Sharpe suggests symmetric returns. See [Skewness and Kurtosis](https://learn.tradelabsai.com/math/skewness-and-kurtosis/). ## Tips for accurate results 1. **Use returns, not prices,** and include all costs. 2. **Choose the right periods per year:** 252 for daily stock returns, 365 for crypto, 12 for monthly. 3. **Use enough data:** at least several years of monthly returns, or a year or more of daily returns. 4. **Do not mix frequencies** in one list. 5. **Watch for smoothing:** illiquid or self reported prices understate volatility and inflate both ratios. ## Limitations - **Both ratios assume** past volatility describes future risk. - **Rare crashes** may not appear in the sample, flattering strategies like option selling. See [Fat Tails](https://learn.tradelabsai.com/math/fat-tails/). - **Short records** make both ratios very noisy. - **Neither shows drawdown depth or duration.** See [Drawdown Recovery Calculator](https://learn.tradelabsai.com/tools/drawdown-recovery-calculator/) and [Calmar and MAR Ratio](https://learn.tradelabsai.com/portfolio/calmar-and-mar-ratio/). ## Where to get your returns For your own trading, export monthly account values from your broker, remove deposits and withdrawals, and compute each month's percentage change. For a backtest, use the strategy's daily or monthly returns after costs. For a fund, use the net of fee monthly returns from its factsheet. Paste the list into the box above. If you only have prices, convert them to percentage changes first; the [NumPy and Pandas for Traders](https://learn.tradelabsai.com/programming/numpy-and-pandas-for-traders/) lesson shows how to do this in a few lines of Python. ## Frequently asked questions ### How do I calculate the Sharpe ratio from monthly returns? Subtract the monthly risk free rate from each return, divide the average by the standard deviation, and multiply by the square root of 12. ### What is the difference between Sharpe and Sortino? Sharpe divides excess return by total volatility; Sortino divides it by downside deviation, penalising only returns below the target. ### Which periods per year should I use for crypto? Usually 365 for daily crypto returns, because crypto markets trade every day. Next, find the growth optimal bet size with the [Kelly Criterion Calculator](https://learn.tradelabsai.com/tools/kelly-criterion-calculator/). ## Continue learning - Next lesson: [Kelly Criterion Calculator](https://learn.tradelabsai.com/tools/kelly-criterion-calculator/) - Previous lesson: [Drawdown Recovery Calculator](https://learn.tradelabsai.com/tools/drawdown-recovery-calculator/) - Related: [Drawdown Recovery Calculator](https://learn.tradelabsai.com/tools/drawdown-recovery-calculator/): Free drawdown recovery calculator. Enter a drawdown percentage to see the gain needed to get back to break even and how long recovery may take. - Related: [Sharpe Ratio](https://learn.tradelabsai.com/portfolio/sharpe-ratio/): The Sharpe ratio measures return per unit of risk. Learn the formula, how to annualise it, what counts as a good Sharpe ratio, its limitations and common mistakes. - Related: [Sortino Ratio](https://learn.tradelabsai.com/portfolio/sortino-ratio/): The Sortino ratio divides excess return by downside deviation, penalising only harmful volatility. Learn the formula, a worked example and when to prefer it. - Related: [Measuring Returns and CAGR](https://learn.tradelabsai.com/portfolio/measuring-returns-and-cagr/): Learn how to measure trading and investment returns correctly: simple and log returns, CAGR, arithmetic versus geometric averages, and money weighted returns. - Related: [Information Ratio and Tracking Error](https://learn.tradelabsai.com/portfolio/information-ratio/): The information ratio divides active return by tracking error to measure how consistently a portfolio beats its benchmark. Learn the formulas, values and uses. - Related: [Calmar and MAR Ratio](https://learn.tradelabsai.com/portfolio/calmar-and-mar-ratio/): The Calmar and MAR ratios compare annual return with maximum drawdown. Learn the formulas, how they differ, a worked example and their strengths and weaknesses.