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The Sortino Ratio is the actual return minus the target return, all divided by the downside risk.

The downside risk is either calculated by the semi standard deviation, or the 2nd order lower partial moment.

The related link "Calculate the Sortino Ratio with Excel" provideds an Excel spreadsheet to calculate the Sortino Ratio

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Q: How do you calculate sortino ratio?
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What is the area of Sortino?

The area of Sortino is 93.19 square kilometers.


The Sortino Ratio?

I've written before about the Sharpe Ratio, a measure of risk-adjusted returns for an asset or portfolio. The Sharpe ratio functions by dividing the difference between the returns of that asset or portfolio and the risk-free rate of return by the standard deviation of the returns from their mean. So it gives you an idea of the level of risk assumed to earn each marginal unit of return. The problem with using the Sharpe Ratio is that it assumes that all deviations from the mean are risky, and therefore bad. But often those deviations are upward movements. Why should an investment strategy by graded so sharply by the Sharpe Ratio for good performance? In the real world, investors don't usually mind upside deviations from the mean. Why would they? These were the questions on the mind of Frank Sortino when he developed what has been dubbed the Sortino Ratio. The ratio that bears his name is a modification of the Sharpe Ratio that only takes into account negative deviations and counts them as risk. To me, it always made a lot more sense not to include upside volatility from the equation because I rather like to see some upside volatility in my portfolios. With the Sortino Ratio only downside volatility is used as the denominator in the equation. So the way you calculate it is to divide the difference between the expected rate of return and the risk-free rate by the standard deviation of negative asset returns. (It can be a bit tricky the first time you try to do it. The positive deviations are set to values of zero during the standard deviation calculation in order to calculate downside deviation.) By using the Sortino Ratio instead of the Sharpe Ratio you’re not penalizing the investment manager or strategy for any upside volatility in the portfolio. And doesn’t that make a whole lot more sense?


Is it true that a ratio is a rate?

No. It can be but need not be. For example, you might calculate the ratio of today's temperature in Celsius and in Fahrenheit and calculate the ratio. That is not a rate.


How to get a ratio?

calculate the ratio between proton&electron


How do you calculate sharpe ratio in Excel?

The related link provides an excel template and some notes on how to calculate the sharpe ratio..pretty simple and effective.

Related questions

Is a highest sortino ratio the best?

A higher Sortino Ratio iis best because it ndicates an investment with lower downside risk. When making investment comparisons based on the Sortino Ratio, make sure that you use consistent definitions because there are several methods of calculating the downside risk. The related link gives you an Excel spreadsheet to calculate the Sortino Ratio


How do you calculate sortino ratio in Excel?

Examine the related link. There's a guide to calculating the Sortino Ratio in Excel. There are several ways of calculating the downside risk in the Sortino Ratio - either the semi-deviation, or the square root of the 2nd order lower partial moment. When comparing the Sortino Ratio from several sources, make sure you use consistent values


What is better a high or low sortino ratio?

A high Sortino ratio is better than a low Sortino ratio. That's because a high sortino ratio implies low downside volatility compared to the expected return. There's a guide to the Sortino Ratio at the related link, together with an Excel spreadsheet


What mutual funds have high Sharpe and Sortino ratios?

Vanguard Wellesley Fund (VWINX) has a 3 year Sharpe ratio of over 2 and a Sortino ratio over 6. That's the best I've come across.


What is Sortino's population?

The population of Sortino is 8,955.


What is the area of Sortino?

The area of Sortino is 93.19 square kilometers.


The Sortino Ratio?

I've written before about the Sharpe Ratio, a measure of risk-adjusted returns for an asset or portfolio. The Sharpe ratio functions by dividing the difference between the returns of that asset or portfolio and the risk-free rate of return by the standard deviation of the returns from their mean. So it gives you an idea of the level of risk assumed to earn each marginal unit of return. The problem with using the Sharpe Ratio is that it assumes that all deviations from the mean are risky, and therefore bad. But often those deviations are upward movements. Why should an investment strategy by graded so sharply by the Sharpe Ratio for good performance? In the real world, investors don't usually mind upside deviations from the mean. Why would they? These were the questions on the mind of Frank Sortino when he developed what has been dubbed the Sortino Ratio. The ratio that bears his name is a modification of the Sharpe Ratio that only takes into account negative deviations and counts them as risk. To me, it always made a lot more sense not to include upside volatility from the equation because I rather like to see some upside volatility in my portfolios. With the Sortino Ratio only downside volatility is used as the denominator in the equation. So the way you calculate it is to divide the difference between the expected rate of return and the risk-free rate by the standard deviation of negative asset returns. (It can be a bit tricky the first time you try to do it. The positive deviations are set to values of zero during the standard deviation calculation in order to calculate downside deviation.) By using the Sortino Ratio instead of the Sharpe Ratio you’re not penalizing the investment manager or strategy for any upside volatility in the portfolio. And doesn’t that make a whole lot more sense?


How do you calculate a ratio from a percent?

Formula to calculate the ratio


How do you calculate credit loss ratio?

how do we calculate credit loss ratio in banks financials


Is it true that a ratio is a rate?

No. It can be but need not be. For example, you might calculate the ratio of today's temperature in Celsius and in Fahrenheit and calculate the ratio. That is not a rate.


How do you calculate velocity ratio in a pulley?

To calculate the velocity ratio in a pulley system, divide the diameter of the driving pulley by the diameter of the driven pulley. This ratio indicates how much faster or slower the driven pulley rotates compared to the driving pulley. It helps to determine the speed or force transmission in the pulley system.


How to get a ratio?

calculate the ratio between proton&electron