Sortino Ratio

Learn more about Sortino Ratio

The Sortino ratio is a financial performance measure that evaluates the risk-adjusted return of an investment. It was developed by fund manager Frank A. Sortino and aims to measure the return of an investment while only considering negative returns that fall below a specific risk threshold.

The Sortino ratio allows for the evaluation of the performance of an investment by only taking into account negative returns that fall below a specific risk threshold.

$$\text{Sortino Ratio} = \frac{r_p - r_{rf}}{\text{downside deviation}}$$

rp = return on assets/strategy

rrf = risk-free rate return

More info : Investopedia

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