Terms Beginning With 's'

Sortino Ratio

  • January 15, 2020
  • Team Kalkine

Sortino Ratio is like Sharpe Ratio with only difference in standard deviation. Sharpe ratio takes a standard deviation of the portfolio’s excess return, but in Sortino ratio, downside standard of negative returns or volatility is considered, keeping out the upside volatility in calculations.

Sortino Ratio is calculated by subtracting risk-free rate from assets’ total return and then dividing the figure by assets’ downside deviation.

We use cookies to ensure that we give you the best experience on our website. If you continue to use this site we will assume that you are happy with it. OK