Sortino Ratio
Sortino Ratio
The Sortino Ratio is an analog to the Sharpe Ratio, with the standard deviation replaced by the downside deviation. Accordingly, there are two versions: one uses the downside deviation with constant MAR, the other uses the downside deviation with cash as the MAR.
SortinoRatioConstantMAR = (AnnRtn(r1, …, rn) – c)/DownsideDeviationConstantMAR(r1, …, rn)