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Sharpe and Sortino ratioAnalyst
Return earned per unit of risk.
What you’ll enter
- Portfolio return
- Risk-free rate
- Standard deviation
- Downside deviation (optional)
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The formula
Sharpe = (Rp − Rf) ÷ σ Sortino = (Rp − Rf) ÷ σ downside
Higher is better. Sortino only counts downside volatility, so it doesn’t penalize strong upward moves.