Excess Return to Downside Deviation Ratio
Compare return above target with downside deviation.
Your numbers
Sortino-ratio value
Estimate for learning with your assumptions; no live rates, tax rules or investment recommendations. Returns fit dey negative and no get guarantee.
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Formula
Use S = (R−T)/d. R na period return, T na target return for the same period, and d na downside deviation wey you measure consistently with that target and period.
Compare return above target with downside deviation.
Example wey show the calculation
- Return for the period (%)
- 10
- Target return for the same period (%)
- 2
- Downside deviation for the same period (%)
- 8
- Sortino-ratio value
- 1
Where e fit work and limits
Estimate for learning with your assumptions; no live rates, tax rules or investment recommendations. Returns fit dey negative and no get guarantee.
We check inputs for missing values and allowed ranges. Result wey pass the finite numeric range no go show. Rounding affect wetin display, while calculation use the model numeric precision.
Check your units and assumptions before you rely on result. Changing label no convert currency or physical unit.
Version of di formula: 3067f578c6b5 · Example don get check: