Sortino Ratio Calculator editable Free Excel
You can download this file and use it as a template to calculate the Sortino ratio of any investment, portfolio, or strategy.
The Sortino ratio measures the risk-adjusted return of an investment, portfolio, or strategy.
Similar to Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return (in our Excel Rf= expected return), while the Sharpe ratio penalizes both upside and downside volatility equally.
The Sortino ratio is used as a way to compare the risk-adjusted performance of investments with differing risk and return profiles.
A negative Sortino ratio means that the risk-free rate (expected return) is higher than the portfolio’s return. This value does not convey any meaningful information.
- A Sortino ratio between 0 and 1.0 is considered sub-optimal.
- A Sortino ratio greater than 1.0 is considered acceptable.
- A Sortino ratio higher than 2.0 is considered very good.
- A Sortino ratio of 3.0 or higher is considered excellent.
Some further reading material
I collected for you some useful material if you want to read more about this topic:
- https://www.investopedia.com/terms/s/sortinoratio.asp
- https://corporatefinanceinstitute.com/resources/wealth-management/sortino-ratio-2/
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