Sortino Ratio: How to Calculate the Sortino Ratio

In this video, we use Excel to explain the rationale behind the Sortino Ratio and what makes it so different from its predecessor, the Sharpe Ratio, through its use of a Minimum Acceptable Return (MAR) and a downside deviation.

Once we've explained the theory, we work through a CFA-style question on how to calculate a Sortino Ratio.

[samsonbouillon]

Your channel is clearly underrated ! Thanks for helping us in understanding this fascinating field !

[thefuturevalues]

This video is better than lot many lengthy videos on youtube

[shubhankargaur]

the way you've explained this is amazing, thank you.

[stephenmiller]

question if your Rp is negative already you still - MAR, so return -3% you would make as -8% (Rp-MAR)?

[fedor]

Hi! Can the Sortino Ratio be applied on a single stock or is it just for portfolios?

[uzewrou]

how is current annual rate 17%, Im getting 5.19

[stephenmiller]

This isnt right, why you using Rp 17% instead of the average? Should be 84/10 . (8.4-5)/2.05 =1.66