SORTINORATIO

Measure risk-adjusted returns relative to downside deviations.

Description

The Sortino ratio measures the risk-adjusted return of an instrument (or portfolio) normalized by its downside deviation. This ratio is often considered a variant of the Sharpe ratio as it only considers downside risk. This is useful for investors and analysts to assess an investment's performance under undesirable volatility environments.

Syntax

The following describes the function signature for use in Microsoft Excel's formula bar.

=SORTINORATIO(returns, threshold)

Input(s)

Argument	Description
returns	Required. Time series or matrix of instrument returns.
threshold	Optional. Return threshold. If the argument is not defined, it will use zero.

Output(s)

Vector of Sortino ratio estimate(s).

Example

56KB

RATIOS.xlsx

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Example Workbook: RATIOS