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.
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