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Apr 4, 2024 · The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard...
The Sortino ratio is used to score a portfolio's risk-adjusted returns relative to an investment target using downside risk. This is analogous to the Sharpe ratio, which scores risk-adjusted returns relative to the risk-free rate using standard deviation.
The Sortino ratio is a risk-adjustment metric used to determine the additional return for each unit of downside risk. It is computed by first finding the difference between an investment’s average return rate and the risk-free rate. The result is then divided by the standard deviation of negative returns.
Jun 8, 2023 · Sortino Ratio is a risk-adjusted performance measure that evaluates an investment's return relative to its downside risk. It is particularly useful for investors who are concerned about potential losses rather than the overall volatility of their investments.
Mar 5, 2024 · The Sortino Ratio is a variation of the Sharpe ratio used to measure the risk-adjusted return on a portfolio that compares performance relative to the downside deviation, rather than the overall standard deviation, of a portfolio’s returns.
Apr 4, 2024 · The Sortino ratio is a financial metric used to evaluate the risk-adjusted return of an investment, portfolio, or trading strategy. It enhances the widely-used Sharpe ratio, focusing on downside risk rather than overall volatility.
May 30, 2023 · Named after economist Frank A. Sortino, the Sortino Ratio subtracts a portfolio’s risk-free rate from its return. It then divides that number by the investment or asset’s downside deviation. That’s measure of downside risk that considers whether an asset or investment falls below a certain threshold.
Mar 5, 2024 · The Sortino ratio indicates how much risk an investor is taking on with their positions. It has a similar function to the more popular Sharpe ratio, but it is more focused...
Jun 27, 2024 · The Sortino ratio is a variation on the Sharpe ratio. While the Sharpe ratio measures excess returns against total volatility (gains and losses), the Sortino ratio is built to focus on weighing the potential for downside risk.
Apr 11, 2019 · 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, called downside deviation, instead of the total standard deviation of portfolio returns.
