Sortino ratio — Sharpe dla downside only
Anna strategy: 70% WR, 200 pip avg win, 50 pip avg loss. +71% rocznie. Sharpe ratio: 9.3 (too good to be true?). Sortino ratio: 67 (more accurate). Diff: Sharpe penalizes big winners, Sortino tylko downside. Hedge funds reportują oba. Tu pokazujemy mechanikę.
Czym jest Sortino
Sortino ratio = (Return - Risk-free rate) / Downside Standard Deviation. Stworzony przez Frank Sortino w 1991 roku jako improvement Sharpe ratio.
Kluczowa innowacja:
- Sharpe: penalizes całą volatility (upside + downside)
- Sortino: tylko downside (negative returns)
Logic: trader nie boi się upside volatility (big winners są good). Boi się downside (drawdowns). Penalizing big winners = misleading.
Formula i kalkulacja
Formula:
Sortino = (Return - Risk-free) / Downside Deviation
Downside Deviation calculation:
- Lista monthly returns
- Identify negative returns tylko (pozytywne ignorowane)
- Calculate standard deviation negatywnych
- Annualize: × √12
Anna strategy example
Sharpe vs Sortino calculation
Sharpe sugeruje że strategy ma high volatility (9.3 jest already excellent). Sortino reveals że volatility jest głównie upside. Strategy actually less risky niż Sharpe wskazuje.
Benchmarks Sortino
Real examples: S&P 500 long-term Sortino ~0.7. Top hedge funds 2-3. Renaissance Medallion ~5+. Top retail 2-4.
Kiedy Sortino lepszy niż Sharpe
4 scenarios Sortino preferowany:
- Skewed distributions: forex strategy z big winners + small losses (positive skew)
- Trend-following: low WR (30-40%) ale high R:R (1:5+). Big winners dominate.
- Asymmetric strategies: option-like payoffs, long-tail returns
- Long-term comparison: occasional 20%+ months distort Sharpe
Sharpe OK dla symmetric distributions (mean reversion 60% WR + 1:1 R:R). Both metrics similar.
„Sharpe penalizes big winners (volatility). Sortino capturje tylko bad volatility. Dla trend-following strategy zawsze Sortino."
Best practice — multi-metric
Top traderzy report 3 ratios:
- Sharpe: overall risk-adjusted (standard)
- Sortino: downside-focused (preferred dla skewed)
- Calmar: return / max DD (drawdown-focused)
Triple-metric assessment = comprehensive picture. Hedge funds 99%+ report multi-metric.
Wnioski
Sortino ratio = Sharpe ale tylko downside volatility. Frank Sortino 1991 improvement. Lepszy dla skewed distributions (forex często).
Anna case: Sharpe 9.3, Sortino 67. Diff captures positive skew strategy. Sharpe undersells, Sortino accurate.
Benchmarks: > 2 good, > 3 excellent. Generally 1.5× higher niż Sharpe.
Best dla: trend-following, skewed distributions, asymmetric strategies. Symmetric strategies = oba similar.
Multi-metric standard: Sharpe + Sortino + Calmar. Triple assessment hedge fund quality.
Powiązane: Sharpe ratio related, max drawdown dla Calmar, equity curve analiza.
Źródła i bibliografia
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Frank Sortino Downside Risk · oryginał 1991 www.semanticscholar.org ↗
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CFA Institute Sortino ratio standard · institutional use www.cfainstitute.org ↗
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myfxbook Sortino auto-calc · free tool www.myfxbook.com ↗
Najczęstsze pytania
Co to Sortino ratio?
Sortino ratio = (Return - Risk-free rate) / Downside Standard Deviation. Stworzony przez Frank Sortino w 1991 roku jako improvement Sharpe ratio. Kluczowa innowacja: Sharpe penalizes całą volatility (upside + downside). Sortino tylko downside (negative returns). Logic: trader nie boi się upside volatility (big winners są good). Boi się downside (drawdowns). Penalizing big winners (jak Sharpe robi) = misleading. Sortino captures rzeczywiste „złe" volatility tylko. Formula: identyczna jak Sharpe ale denominator = standard deviation tylko negatywnych returns (downside deviation). Pozytywne returns w calculation = 0 (nie liczone).
Sortino vs Sharpe — konkretny przykład?
Strategy z big winners + small losses (typical trend-following): 70% win rate, AvgWin 200 pips, AvgLoss 50 pips. Monthly returns: +8%, +12%, -2%, +6%, -1%, +15%, +4%, -3%, +9%, +5%, +20%, -2%. Total return: +71%. Standard deviation: 7.2%. Sharpe ratio: (71-4) / 7.2 = 9.3. Wow! Ale: deviation includes wins (+20%, +15%). Distorted. Downside deviation (only -2%, -1%, -3%, -2%): 1.0%. Sortino: (71-4) / 1.0 = 67. Trader rzeczywisty risk profile wyraźniejszy: minimal downside, big upside. Sharpe undersells, Sortino captures true performance. Lesson: dla trend-following strategy zawsze report Sortino.
Sortino benchmarks?
Sortino benchmarks generalnie 1.5× higher niż Sharpe (bo denominator mniejszy). < 1.0: bad, downside too high. 1.0-2.0: acceptable. 2.0-3.0: good, top retail target. 3.0-5.0: excellent, top hedge funds. > 5.0: outstanding (rare, often statistical artifact w short timeframes). Examples: S&P 500 long-term Sortino ~0.7. Top hedge funds 2-3. Renaissance Medallion ~5+. Top retail (5+ yrs profitable): 2-4. Beginnerzy: often Sortino < 1 (high downside, modest returns). Improvement path: lower downside volatility (better SL discipline) lub increase returns (better strategy).
Kiedy Sortino lepszy niż Sharpe?
4 scenarios Sortino preferowany: (1) Skewed distributions: forex strategy z big winners + small losses (positive skew). Sharpe undersells. (2) Trend-following strategies: low WR (30-40%) ale high R:R (1:5+). Big winners dominate. (3) Asymmetric strategies: option-like payoffs, long-tail returns. (4) Long-term comparison: jeśli strategy ma okazjonalne 20%+ months, Sharpe distorts. Kiedy Sharpe OK: symmetric distributions (mean reversion z 60% WR i 1:1 R:R). Both metrics similar. Best practice: report oba. Calmar (return / max DD) trzeci complementary. Triple-metric assessment = comprehensive picture. Hedge funds 99%+ report multi-metric.