Sortino Ratio
Returns the Sortino ratio which measures risk-adjusted return using only downside deviation (unlike Sharpe which uses total volatility).
Syntax
=SortinoRatio()Returns
number
Sortino ratio value
Examples
=SortinoRatio()When to Use
- Downside risk analysis
- Asymmetric return portfolios
- Better than Sharpe when returns aren't normal
When NOT to Use
| Scenario | Use Instead |
|---|---|
| Total volatility adjustment | SharpeRatio() |
| Market risk adjustment | TreynorRatio() |
Common Issues & FAQ
How is Sortino different from Sharpe?
Sortino only penalizes downside volatility, not upside.
Excel Templates Using Sortino Ratio
These ready-made MarketXLS templates call SortinoRatio() in their worksheet formulas. Open one to see the function working inside a complete model.
Related Formulas
More MarketXLS Portfolio Analytics formulas you can use in the same worksheet:
- Value At Risk
- Wealth Index
- AIPortfolio Optimize
- AIPortfolio Predict Returns
- Drawdown
- Holdings Gain
- Holdings Gain Percent
- Holdings Gain Percent Real-Time
See SortinoRatio used in a complete workbook: Sortino Ratio: How to Calculate and Use It for Smarter Portfolio Analysis in Excel
Get Access to 1 Billion Usable Market data points IN YOUR EXCEL SHEETS WITH EASY TO USE EXCEL FUNCTIONS
Get started today
▶
How does MarketXLS work?