Sortino ratio
Like Sharpe, but only counts the bad volatility: returns below the risk-free rate.
What it measures
The Sortino ratio divides excess return by downside deviation, so a scheme is not penalised for large upward months. It answers: how much excess return per unit of harmful volatility?
Formula
Sortino = (annualised return − risk-free rate) ÷ annualised downside deviation
downside deviation = √( mean of min(0, monthly return − monthly risk-free)² ) × √12
How MFIC calculates it
Same 36 month-end returns as Sharpe, risk-free assumption 6.5%. Only months that fell short of the monthly risk-free rate contribute to the denominator.
How to read it
Higher is generally more favourable. When Sortino is much higher than Sharpe, much of the scheme's volatility came from up-months.
Limitations
With few negative months the denominator is small and the ratio becomes unstable; very high values over short windows should be read with care.
Sortino ratio by category today
Spread of sortino ratio across Regular-plan schemes in each category, calculated by MFIC from AMFI NAVs as of 1 Oct 2026. The middle half of schemes falls between the 25th and 75th percentiles.
| Category (Regular plans) | Schemes | 25th percentile | Median | 75th percentile |
|---|---|---|---|---|
| Large Cap | 32 | 0.11 | 0.19 | 0.30 |
| Large & Mid Cap | 26 | 0.40 | 0.50 | 0.65 |
| Flexi Cap | 36 | 0.27 | 0.41 | 0.70 |
| Multi Cap | 23 | 0.45 | 0.59 | 0.75 |
| Mid Cap | 29 | 0.61 | 0.73 | 0.85 |
| Small Cap | 24 | 0.39 | 0.65 | 0.83 |
| ELSS | 38 | 0.13 | 0.35 | 0.47 |
| Focused | 27 | 0.21 | 0.40 | 0.58 |
| Value | 21 | 0.28 | 0.43 | 0.67 |
| Aggressive Hybrid | 30 | 0.24 | 0.35 | 0.54 |
| Balanced Advantage | 30 | 0.02 | 0.25 | 0.44 |
| Index Fund | 109 | -0.03 | 0.31 | 0.62 |
Use it in MFIC
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Related: Sharpe ratio · Upside and downside capture · Maximum drawdown · Methodology