The Sortino ratio, proposed by Frank Sortino in the 1980s, is a refinement of Sharpe that divides excess return by the downside deviation only — the standard deviation of returns below a target (usually zero or the risk-free rate).
Sortino rewards strategies with positive skew: a system that rarely loses but occasionally jumps higher gets a much better Sortino than Sharpe. It is more honest about the asymmetry between gains and losses that real traders care about.
Downside deviation is annualized the same way as ordinary volatility: multiply by √N (e.g. √252 for daily data). Note that with very few downside observations the estimate is noisy — Sortino is most informative on long return histories.
Formule
Sortino = (E[R_a] − R_f) / σ_down(R_a) σ_down = sqrt(mean(min(R_a − R_target, 0)^2))
Exemple
Returns 18%, risk-free 2%, downside deviation 7%. Sortino = (18 − 2) / 7 ≈ 2.29. Strategy is genuinely positively skewed.
Comment Noon Barbari utilise Sortino ratio
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Sharpe & drawdown calculator →Termes liés
- Statistiques
Sharpe ratio
Excess return over the risk-free rate per unit of total volatility.
- Statistiques
Calmar ratio
Annualized return divided by absolute maximum drawdown. Pain-adjusted return.
- Statistiques
Standard deviation
Square root of variance — the most common volatility measure in trading.
- Statistiques
Expectancy
Average profit (or loss) per trade — the most honest measure of edge.