Índice de Sortino
- Created by
- Renato Passos, Eng. de Software
- Reviewed by
- Renato Passos, Eng. de Software
Last updated: Apr 18, 2026
Formula
Sortino
About this calculator
The Sortino Ratio is a performance measure used to evaluate the return on investment in relation to risk. It takes into account the volatility of the investment portfolio, considering only the periods of loss.
The Sortino Ratio formula is calculated as the difference between the investment return (R) and the risk-free interest rate (R_f), divided by the negative volatility (σ_neg) of the investment. This allows investors to assess the performance of the investment in relation to the risk of loss.
The Sortino Ratio is useful when comparing the return on investment of different investments with different levels of risk. It helps to identify which investments are generating higher returns in relation to the risk of loss. Additionally, it is an important tool for investors seeking to minimize losses in their investments.
It is essential to be cautious when interpreting the Sortino Ratio, as it can be influenced by various factors, such as the choice of time period and market volatility. Furthermore, it is crucial to consider other performance measures, such as return on investment and interest rate, to obtain a comprehensive view of the investment's performance.
Frequently asked questions
What is the Sortino Ratio?
The Sortino Ratio is a performance measure that evaluates the return on investment in relation to the risk of loss.
How is the Sortino Ratio calculated?
The Sortino Ratio is calculated as the difference between the investment return and the risk-free interest rate, divided by the negative volatility of the investment.
Why is the Sortino Ratio important?
The Sortino Ratio is important because it helps to identify which investments are generating higher returns in relation to the risk of loss, allowing investors to make informed decisions.
What are the main considerations when interpreting the Sortino Ratio?
It is essential to consider the choice of time period and market volatility, as well as other performance measures, to obtain a comprehensive view of the investment's performance.
How can I use the Sortino Ratio in my investment strategy?
The Sortino Ratio can be used to compare the return on investment of different investments and identify which are generating higher returns in relation to the risk of loss, helping to optimize the investment strategy.