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.
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
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