Make better investing decisions when you have access to the Sortino Ratio. With Portfolio Workstation you can easily sort your watch lists by Sortino Ratio over any time window that you like. The better the Sortino Ratio score, the better the risk adjusted returns from that investment in the past. Unlike other well known risk adjusted return measures like the Sharpe Ratio, the Sortino Ratio does not punish upside volatility, so you won’t be overlooking breakout investments.
Understanding the Sortino Ratio calculation is simple. It is made up of three main parts:
- Compounded Return: This is the linear rate of return needed to get you from the starting price on the chart to the ending price on the chart.
- Risk Free Rate: This is what you could earn in T-Bills (or some other cash substitute) instead of making the investment under scrutiny.
- Downside Deviation: Think of this as the volatility of adverse price movement.
These three parts fit together in this way to calculate Sortino Ratio:
Sortino Ratio = (Compounded Return – Risk Free Rate) / Downside Deviation
Portfolio Workstation gives you instant Sortino Ratio calculations on freely available stock market data from Yahoo Finance and Google Finance. Free commodity and stock market index data is also accessible with the included Quandl data connector. Top-down stock market analysis using the Sortino Ratio is easy, simply download and import the Russell 3000 workbook file provided on this website and use Portfolio Workstation’s workbook sorting features.
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This simulated daily OHLC data was algorithmically generated to portray a hypothetical past for the DGAZ ETN over the period of February 18, 2007 to April 24, 2015. It is strictly intended for informational and testing purposes only.
For more information, please see our introductory post for this data set, DGAZ Price Simulated Back To 2007 Using UNG Prices.