Sortino ratio (versus Sharpe ratio)

You can download the spreadsheet on our website. The Sortino ratio generalizes (to focus on the downside) from the Sharpe by using: 1. In the numerator, instead of excess return (above riskfree), Sortino uses excess above hurdle (MAR, minimum acceptable return) 2. In the denominator, instead of volatility (annualized standard deviation), Sortino uses downside deviation.