Sortino Ratio Screener
Stocks ranked by risk-adjusted returns (downside deviation only)
Measures return per unit of downside risk. Unlike the Sharpe ratio which penalizes all volatility, the Sortino ratio only considers negative returns — making it ideal for identifying stocks that deliver strong gains without painful drops. Higher is better; above 2 is good, above 3 is excellent.
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49,294
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What Is the Sortino Ratio?
The Sortino ratio is a risk-adjusted return metric developed by Frank Sortino that improves on the Sharpe ratio by only penalizing downside volatility. While the Sharpe ratio treats all volatility as risk — including upside moves that investors actually want — the Sortino ratio recognizes that only losses cause real pain.
Formula: Sortino = (Annualized Return - Risk-Free Rate) / Downside Deviation
Downside deviation is calculated using only the returns that fall below a minimum acceptable return (typically 0%). This means a stock that shoots up 20% in a single day is not penalized — only the days with negative returns factor into the denominator.
How to Interpret It
Higher Sortino ratios indicate better risk-adjusted performance. As a general guide: below 1 is poor, 1-2 is acceptable, 2-3 is good, and above 3 is excellent. Because it ignores upside volatility, the Sortino ratio is typically higher than the Sharpe ratio for the same stock.
When to Use It
The Sortino ratio is particularly valuable for stocks with asymmetric return distributions — stocks that occasionally make large gains but rarely suffer large losses. Growth stocks, for example, may look riskier on a Sharpe basis (because of upside volatility) but more attractive on a Sortino basis. It's also the preferred metric for investors who define risk as "the probability and magnitude of losing money" rather than general price fluctuation.
Limitations
Like all backward-looking metrics, the Sortino ratio reflects past performance and doesn't guarantee future results. It can be distorted by very short measurement periods or by stocks with few negative return days. Our screener calculates the ratio across multiple time periods (1 week to 5 years) so you can assess consistency. Learn more in our financial glossary.