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Sortino Ratio Calculator

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Risk Management

✖The Expected Portfolio Return is the combination of the expected returns, or averages of probability distributions of possible returns, of all the assets in an investment portfolio.ⓘ Expected Portfolio Return [R_p]			+10% -10%
✖The Risk Free Rate is the theoretical rate of return of an investment with zero risks.ⓘ Risk Free Rate [R_f]			+10% -10%
✖Standard Deviation of Downside only focuses on the volatility of negative returns.ⓘ Standard Deviation of Downside [σ_d]			+10% -10%

✖Sortino Ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy.ⓘ Sortino Ratio [S]

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Formula

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Sortino Ratio

Formula

S = \frac{R p - R f}{σ d}

Example

3.566667 = \frac{11 - 0.3}{3}

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Sortino Ratio Solution

STEP 0: Pre-Calculation Summary

Formula Used

Sortino Ratio = (Expected Portfolio Return-Risk Free Rate)/Standard Deviation of Downside
S = (R_p-R_f)/σ_d
This formula uses 4 Variables

Variables Used

Sortino Ratio - Sortino Ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy.
Expected Portfolio Return - The Expected Portfolio Return is the combination of the expected returns, or averages of probability distributions of possible returns, of all the assets in an investment portfolio.
Risk Free Rate - The Risk Free Rate is the theoretical rate of return of an investment with zero risks.
Standard Deviation of Downside - Standard Deviation of Downside only focuses on the volatility of negative returns.

STEP 1: Convert Input(s) to Base Unit

Expected Portfolio Return: 11 --> No Conversion Required
Risk Free Rate: 0.3 --> No Conversion Required
Standard Deviation of Downside: 3 --> No Conversion Required

STEP 2: Evaluate Formula

Substituting Input Values in Formula

S = (R_p-R_f)/σ_d --> (11-0.3)/3

Evaluating ... ...

S = 3.56666666666667

STEP 3: Convert Result to Output's Unit

3.56666666666667 --> No Conversion Required

FINAL ANSWER

3.56666666666667 ≈ 3.566667 <-- Sortino Ratio

(Calculation completed in 00.004 seconds)

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Credits

Created by Keerthika Bathula

Indian Institute of Technology, Indian School of mines, Dhanbad (IIT ISM Dhanbad), Dhanbad

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BMS College of Engineering (BMSCE), Bangalore

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< Risk Management Calculators

Sortino Ratio

Go Sortino Ratio = (Expected Portfolio Return-Risk Free Rate)/Standard Deviation of Downside

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Go Maximum Drawdown = ((Trough Value-Peak Value)/Peak Value)*100

Modigliani-Modigliani Measure

Go Modigliani-Modigliani measure = Return on Adjusted Portfolio-Return on Market Portfolio

Upside/Downside Ratio

Go Upside/Downside Ratio = Advancing Issues/Declining Issues

Sortino Ratio Formula

Sortino Ratio = (Expected Portfolio Return-Risk Free Rate)/Standard Deviation of Downside
S = (R_p-R_f)/σ_d

What is 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.

How to Calculate Sortino Ratio?

Sortino Ratio calculator uses Sortino Ratio = (Expected Portfolio Return-Risk Free Rate)/Standard Deviation of Downside to calculate the Sortino Ratio, The Sortino Ratio is a statistical tool useful for evaluating the performance by considering the downward deviation. It is used to evaluate high-volatility portfolios. Sortino Ratio is denoted by S symbol.

How to calculate Sortino Ratio using this online calculator? To use this online calculator for Sortino Ratio, enter Expected Portfolio Return (R_p), Risk Free Rate (R_f) & Standard Deviation of Downside (σ_d) and hit the calculate button. Here is how the Sortino Ratio calculation can be explained with given input values -> 3.566667 = (11-0.3)/3.

FAQ

What is Sortino Ratio?

The Sortino Ratio is a statistical tool useful for evaluating the performance by considering the downward deviation. It is used to evaluate high-volatility portfolios and is represented as S = (R_p-R_f)/σ_d or Sortino Ratio = (Expected Portfolio Return-Risk Free Rate)/Standard Deviation of Downside. The Expected Portfolio Return is the combination of the expected returns, or averages of probability distributions of possible returns, of all the assets in an investment portfolio, The Risk Free Rate is the theoretical rate of return of an investment with zero risks & Standard Deviation of Downside only focuses on the volatility of negative returns.

How to calculate Sortino Ratio?

The Sortino Ratio is a statistical tool useful for evaluating the performance by considering the downward deviation. It is used to evaluate high-volatility portfolios is calculated using Sortino Ratio = (Expected Portfolio Return-Risk Free Rate)/Standard Deviation of Downside. To calculate Sortino Ratio, you need Expected Portfolio Return (R_p), Risk Free Rate (R_f) & Standard Deviation of Downside (σ_d). With our tool, you need to enter the respective value for Expected Portfolio Return, Risk Free Rate & Standard Deviation of Downside and hit the calculate button. You can also select the units (if any) for Input(s) and the Output as well.

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