Sharpe / Sortino / Treynor Ratio
Mean return (period)
0.6333 %
Annualized return
7.8704 %
Annual volatility
4.2099 %
Annual downside dev.
1.7263 %
Sharpe Ratio
1.3944
Sortino Ratio
3.4006
Treynor Ratio
0.0587
FAQ
Risk/return ratios
What is the Sharpe ratio?
Excess return per unit of total risk: (return - risk-free) / std dev. >1 good, >2 great, >3 excellent. Measures how efficiently an asset compensates risk taken.
Sortino vs Sharpe?
Sortino uses only downside volatility (negative returns), not penalizing upside volatility. Better for asymmetric strategies.
What does the Sharpe ratio measure?
How much return above a safe investment you get for each unit of risk, dividing the excess return by the standard deviation. Above one is good, above two is very good.
What is the difference between Sharpe and Sortino?
Sortino counts only downside volatility, so it does not penalise swings upwards. It describes asymmetric strategies better, where gains are irregular but losses are contained.
What does the Treynor ratio need?
It needs beta, that is, how much the investment moves against the market. Treynor sets the excess return against beta instead of total volatility, looking only at undiversifiable risk.