Adjusting for downside risk: Calmar, Sterling, and Sortino (Excel)

Is the standard deviation the best measure for portfolio risk? Some would argue not, as it is taking into account the upside risk together with the downside risk. There are risk-adjusted return measures that improve upon Sharpe ratio in that regard. Today we are investigating the concepts of drawdown and semideviation as well as the portfolio performance measures that are built upon them, namely, Calmar, Sterling, and Sortino ratios.

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[joeaoun]

I very much appreciate your videos and efforts to make these concepts understandable. Your spreadsheets are also excellent. Please keep up the great work

[Carlosconga]

I couldn’t find what steering ratio was online. Great explanation!

[selimbahayldz]

The videos are very helpful, thanks a lot.
Can we calculate portfolio weights that maximize the Calmar (Sterling-Sortino) ratio in Excel?

[lalithseelanatha]

The way you calculated semivariance in the spread sheet is different to the way you explain here. Why is it?

[Oksel]

If you download the risk-free rate from FRED (such as the 3TBMS), Is the rate annualized even though the data frequency is monthly? Do i have to divide it by 12 to get the monthly rate? Lets assume i want to find the sharpe ratio and the sortino ratio for nasdaq, which risk free rate is appropriate from 2013 to 2022?

[alexsiew]

NEDL_DownsideRisk.xlsx the Spreadsheet still there? Cant find. TQ.

[muhammadanandafakhri]

sir may u sharing that file on google sheets?
I want to know the formula and how to do it. Thx :)