Sortino Ratio

Version 1.0.0.0 (1.29 KB) by Lorenzo Brancali
This file calculates the Sortino ratio of an investment asset, portfolio or strategy.
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Updated 12 Mar 2012

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The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target. The Sortino ratio is similar to the Sharpe ratio, except it uses downside deviation for the denominator instead of standard deviation, the use of which doesn't discriminate between upside and downside volatility.

Cite As

Lorenzo Brancali (2024). Sortino Ratio (https://www.mathworks.com/matlabcentral/fileexchange/35599-sortino-ratio), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2008a
Compatible with any release
Platform Compatibility
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Version Published Release Notes
1.0.0.0