February 9, 2022

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Sortino Ratio

What Is the Sortino Ratio?

The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset’s standard deviation of negative portfolio returns—downside deviation—instead of the total standard deviation of portfolio returns. The Sortino ratio takes an asset or portfolio’s return and subtracts the risk-free rate, and then divides that amount by the asset’s downside deviation. The ratio was named after Frank A. Sortino.

Formula and Calculation of Sortino Ratio

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Emmanuel
Emmanuel
February 9, 2022 4:26 pm

Super !!! Very interesting !!!!!! Thank you Clonex

eastpeace
eastpeace
May 28, 2022 1:40 pm

Thank you, Clonex, You are a great man!