PORTFOLIO RISK
Sortino Ratio
Measures return relative to harmful downside variability.
Formula
Sortino = (R_p-R_target)/Downside deviation
Variables: Portfolio return; target return; downside deviation
What it means
Measures return relative to harmful downside variability.
Example
Excess return 5% with downside deviation 8% gives 0.625.
How to interpret it
This concept should be read together with its market convention, measurement horizon and underlying instrument. BondStats presents it as an analytical reference rather than investment advice; instrument documentation and primary market rules remain authoritative.
Related Formulas
BondStats reference content is independently written. Mathematical relationships, abbreviations and market conventions are presented for educational and analytical use.