Sortino (90d)
Like Sharpe — but penalizes mainly downside volatility
Description
The Sortino ratio is closely related to Sharpe, but it compares return only to “bad” volatility.
More precisely: only negative daily returns contribute to downside volatility — positive swings are not penalized.
That often feels more intuitive: an asset that rises steadily but is volatile mostly on the upside is penalized less than with Sharpe.
Source
Calculation
- 1) r_t = (Price_t / Price_{t-1}) − 1
- 2) R_90 = Π(1 + r_t) − 1
- 3) r_t^- = min(r_t, 0)
- 4) σ^- = std(r_t^-)
- 5) σ^-_90 = σ^- * √90
- 6) R_90 / σ^-_90
Interpretation
- Higher is better.
- Negative values mean: the return over the window was negative (with downside risk).
Ranking
Loading ranking …