Sortino Ratio
Returns the Sortino ratio which measures risk-adjusted return using only downside deviation (unlike Sharpe which uses total volatility).
Syntax
=SortinoRatio()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.
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?