जोखिम-समायोजित रिटर्न कैलकुलेटर — सूत्र

Risk-Adjusted Performance

Raw returns do not tell the full story. A 15% return with 30% volatility may be worse than 10% with 10% volatility.

Sharpe Ratio

Sharpe = (Portfolio Return - Risk-Free Rate) / Standard Deviation

SharpeInterpretation < 0Below risk-free, poor 0 - 1Mediocre risk-adjusted 1 - 2Good > 2Excellent

Sortino Ratio

Sortino = (Portfolio Return - Risk-Free Rate) / Downside Deviation

The Sortino ratio only penalizes downside volatility, which is more relevant since investors do not mind upside surprises.

हल किया गया उदाहरण

12% return, 4% risk-free rate, 15% volatility, 10% downside deviation.

  1. Excess return = 12% - 4% = 8%
  2. Sharpe ratio = 8% / 15% = 0.53
  3. Sortino ratio = 8% / 10% = 0.80
  4. The Sortino is higher because downside deviation < total volatility