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Sortino Ratio Formula

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Sortino Ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. Check FAQs

S = \frac{R p - R f}{σ d}

S - Sortino Ratio?R_p - Expected Portfolio Return?R_f - Risk Free Rate?σ_d - Standard Deviation of Downside?

Sortino Ratio Example

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Here is how the Sortino Ratio equation looks like with Values.

Here is how the Sortino Ratio equation looks like with Units.

Here is how the Sortino Ratio equation looks like.

3.5667 = \frac{11 - 0.3}{3}

3.5667 = \frac{11 - 0.3}{3}

3.5667 = \frac{11 - 0.3}{3}

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Sortino Ratio Solution

Follow our step by step solution on how to calculate Sortino Ratio?

FIRST Step Consider the formula

S = \frac{R p - R f}{σ d}

Next Step Substitute values of Variables

∴

S = \frac{11 - 0.3}{3}

Next Step Prepare to Evaluate

∴

S = \frac{11 - 0.3}{3}

Next Step Evaluate

∴

S = 3.56666666666667

LAST Step Rounding Answer

∴

S = 3.5667

Sortino Ratio Formula Elements

Variables

Sortino Ratio

Sortino Ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy.

Symbol: S

Measurement: NAUnit: Unitless

Note: Value should be greater than 0.

Formulas to find Sortino Ratio

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.

Symbol: R_p

Measurement: NAUnit: Unitless

Note: Value can be positive or negative.

Formulas to find Expected Portfolio Return

Risk Free Rate

The Risk Free Rate is the theoretical rate of return of an investment with zero risks.

Symbol: R_f

Measurement: NAUnit: Unitless

Note: Value can be positive or negative.

Formulas to find Risk Free Rate

Standard Deviation of Downside

Standard Deviation of Downside only focuses on the volatility of negative returns.

Symbol: σ_d

Measurement: NAUnit: Unitless

Note: Value should be greater than 0.

Formulas to find Standard Deviation of Downside

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How to Evaluate Sortino Ratio?

Sortino Ratio evaluator uses Sortino Ratio = (Expected Portfolio Return-Risk Free Rate)/Standard Deviation of Downside to evaluate 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 evaluate Sortino Ratio using this online evaluator? To use this online evaluator 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.

FAQs on Sortino Ratio

What is the formula to find Sortino Ratio?

The formula of Sortino Ratio is expressed as Sortino Ratio = (Expected Portfolio Return-Risk Free Rate)/Standard Deviation of Downside. Here is an example- 3.566667 = (11-0.3)/3.

How to calculate Sortino Ratio?

With Expected Portfolio Return (R_p), Risk Free Rate (R_f) & Standard Deviation of Downside (σ_d) we can find Sortino Ratio using the formula - Sortino Ratio = (Expected Portfolio Return-Risk Free Rate)/Standard Deviation of Downside.

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Sortino Ratio Formula

Sortino Ratio Example

Sortino Ratio Solution

Sortino Ratio Formula Elements

Other formulas in Risk Management category

How to Evaluate Sortino Ratio?

FAQs on Sortino Ratio

Variable Name