Sortino Ratio Calculator

✖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" = ("R"_{"p"}-"R"_{"f"})/"σ"_{"d"}`

Example

`"3.566667"=("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

Keerthika Bathula has created this Calculator and 50+ more calculators!

Verified by Vishnu K

BMS College of Engineering (BMSCE), Bangalore

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< 20 Risk Management Calculators

Risk Adjusted Return on Capital

Go Risk Adjusted Return on Capital = (Revenue-Expenses-Expected Loss+Income From Capital)/Capital Cost

Sortino Ratio

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

Maximum Drawdown

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

Interest Rate Risk

Go Interest Rate Risk = (Original Price-New Price)/New Price

Sterling Ratio

Go Sterling Ratio = (Compound Annual Growth Rate/(Average Maximum Drawdown-10))*-1

Risk Tolerance

Go Risk Tolerance = (Public Equity Exposure*0.35)/Monthly Gross Income

Market Risk Premium

Go Market Risk Premium = Expected Equity Market Rate-Risk Free Rate

Basis Risk

Go Basis Risk = Future Price of Contract-Spot Price of Hedged Asset

Credit Value at Risk

Go Credit Value at Risk = Worst Credit Loss-Expected Credit Loss

Economic Capital

Go Economic Capital = Earnings at Risk/Required Rate of Return

Calmar Ratio

Go Calmar Ratio = (Average Rate of Return/Maximum Drawdown)*-1

Upside/Downside Ratio

Go Upside/Downside Ratio = Advancing Issues/Declining Issues

Credit Spread

Go Credit Spread = Corporate Bond Yield-Treasury Bond Yield

Probability of Default Regression Model

Go Probability of Default = 1/(1+exp(-Linear Combination))

Default Risk Premium

Go Default Risk Premium = Interest Rate-Risk Free Rate

Pain Ratio

Go Pain Ratio = Effective Return/Pain Index

Risk Exposure

Go Risk Exposure = Risk Impact*Probability

Risk Determination

Go Risk = Risk Impact*Likelihood

Loss Given Default

Go Loss Given Default = 1-Recovery Rate

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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