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Sortino ratio

A variation of the Sharpe ratio which differentiates harmful volatility from volatility in general by replacing standard deviation with downside deviation in the denominator. Thus the Sortino Ratio is calculated by subtracting the risk free rate from the return of the portfolio and then dividing by the downside deviation. The Sortino ratio measures the return to "bad" volatility. This ratio allows investors to assess risk in a better manner than simply looking at excess returns to total volatility, since such a measure does not consider how often the price of the security rises as opposed to how often it falls. A large Sortino Ratio indicates a low risk of large losses occurring.

Related information about Sortino ratio:
  1. Sortino ratio - Wikipedia, the free encyclopedia
    The Sortino ratio, named after Frank A. Sortino, measures the risk-adjusted return of an investment asset, portfolio or strategy. It is a modification of the Sharpe ...
     
  2. Sortino Ratio Definition | Investopedia
    A ratio developed by Frank A. Sortino to differentiate between good and bad volatility in the Sharpe ratio. This differentiation of upwards and downwards volatility ...
     
  3. Calculate the Sortino Ratio with Excel
    This Excel spreadsheet calculates the Sortino Ratio for an investment, a measure of risk-adjusted return. Investments that emphasize their Sortino Ratio often try ...
     
  4. What is Sortino ratio? definition and meaning
    Definition of Sortino ratio: A variation of the Sharpe ratio which differentiates ... Thus the Sortino Ratio is calculated by subtracting the risk free rate from the return ...
     
  5. Sortino Ratio
    Sortino Ratio - Definition for Sortino Ratio from Morningstar - The Sortino ratio, a variation of the Sharpe ratio, differentiates harmful volatility from volatility in ...
     
  6. FinanceProfessor.com: Sortino Ratio
    Apr 4, 2011 ... "The Sortino Ratio differentiates between this positive and negative volatility by replacing standard deviation with downside-volatility.
     
  7. Sortino Ratio Definition | PerTrac > PerTrac
    The definition and formula for calculating the Sortino Ratio are provided in this section of Investment Statistics: A Reference Guide from PerTrac.
     
  8. The Sortino Ratio: Is Downside Risk the Only Risk that Matters?
    The Sortino Ratio: Is Downside Risk the Only Risk that Matters?