Question 1

What's the difference between Sortino and Sharpe ratio?

Accepted Answer

Sharpe uses total standard deviation (both upside and downside). Sortino only uses downside deviation, making it better for asymmetric return distributions.

Question 2

What's a good Sortino ratio?

Accepted Answer

Generally: <0 is poor (below MAR), 0-1 is acceptable, 1-2 is good, 2-3 is excellent, >3 is outstanding.

Question 3

How is downside deviation calculated?

Accepted Answer

Only data points where returns fall below the Minimum Acceptable Return (MAR) are used. Above-MAR returns don't count as risk.

Sortino Ratio Calculator

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