Sortino Ratio Definition
The Sortino Ratio is a measure of the performance of a fund or portfolio compared to the risk free rate, after adjusting for the fund or portfolio's downside risk.
How we Calculate Sortino
Since it's calculated based on the returns, we use the same formula for individual funds / stocks as well as portfolios.
The formula we use to calculate the Sortino Ratio is:
We use treasury bills for our risk free rate. To learn more, please click here.