What is Sortino ratio?

The Sortino Ratio is a variation of the Sharpe ratio used to measure the risk-adjusted return on a portfolio that compares performance relative to the downside deviation, rather than the overall standard deviation, of a portfolio’s returns. How to Calculate Sortino Ratio?

Which is better Sharpe or Sortino?

Practically speaking, the Sharpe ratio tends to be more applicable to portfolios with low volatility, while the Sortino ratio is more practical for portfolios with high volatility. That said, the Sortino ratio is used frequently by investors that pursue higher returns (and thereby use riskier strategies), such as retail investors.

What is the Sortino Ratio for mutual fund x & z?

For example, assume Mutual Fund X has an annualized return of 12% and a downside deviation of 10%. Mutual Fund Z has an annualized return of 10% and a downside deviation of 7%. The risk-free rate is 2.5%. The Sortino ratios for both funds would be calculated as: