## Sortino Ratio Solution

STEP 0: Pre-Calculation Summary
Formula Used
Sortino Ratio = (Expected Portfolio Return-Risk Free Rate)/Standard Deviation of Downside
S = (Rp-Rf)/σd
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 = (Rp-Rf)/σd --> (11-0.3)/3
Evaluating ... ...
S = 3.56666666666667
STEP 3: Convert Result to Output's Unit
3.56666666666667 --> No Conversion Required
3.56666666666667 3.566667 <-- Sortino Ratio
(Calculation completed in 00.004 seconds)
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## Credits

Created by Keerthika Bathula
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Verified by Vishnu K
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
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
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 = (Rp-Rf)/σd

## 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 (Rp), Risk Free Rate (Rf) & Standard Deviation of Downside 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 = (Rp-Rf)/σd 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 (Rp), Risk Free Rate (Rf) & Standard Deviation of Downside 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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