Risk-Adjusted Return Calculator — 公式
## 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**
| Sharpe | Interpretation |
|---|---|
| < 0 | Below risk-free, poor |
| 0 - 1 | Mediocre risk-adjusted |
| 1 - 2 | Good |
| > 2 | Excellent |
### 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.
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**
| Sharpe | Interpretation |
|---|---|
| < 0 | Below risk-free, poor |
| 0 - 1 | Mediocre risk-adjusted |
| 1 - 2 | Good |
| > 2 | Excellent |
### 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.
计算示例
12% return, 4% risk-free rate, 15% volatility, 10% downside deviation.
- Excess return = 12% - 4% = 8%
- Sharpe ratio = 8% / 15% = 0.53
- Sortino ratio = 8% / 10% = 0.80
- The Sortino is higher because downside deviation < total volatility