Sortino ratio vs Sharpe — który lepszy dla tradera?

Q: Sharpe ratio mechanika?

Sharpe ratio = pierwszy risk-adjusted measure, 1966 William Sharpe. Formula: Sharpe = (Rp - Rf) / σp. Gdzie Rp = portfolio return, Rf = risk-free rate (e.g. 10-year Treasury 4% USA, German Bund 3% EU), σp = standard deviation portfolio returns. Interpretacja: Sharpe > 1 = good, > 2 = very good, > 3 = excellent. Sharpe < 0.5 = poor risk-adjusted. Przykład forex strategy: rok return 20%, risk-free 4%, std dev returns 12%. Sharpe = (20 - 4) / 12 = 1.33. Decent strategia. Wada: Sharpe penalizuje upside i downside volatility równo. Strategia z big wins (+30% mies.) + small losses (-3% mies.) = high std dev = lower Sharpe. Ale upside volatility = GOOD! Penalizacja unfair. Sharpe drawback typical: trend-following strategies (big wins, small losses) score lower Sharpe than mean-reversion (small wins, small losses, occasional big losses). Mean-reversion looks "better" Sharpe ale real risk DRAWDOWN higher. Industry use: hedge funds Sharpe 1-2 average. Top quartile 2+. Renaissance Medallion 2.5+. Most retail strategies Sharpe 0.5-1.5.

Q: Sortino ratio mechanika?

Sortino ratio = ulepszenie Sharpe, 1980s Frank Sortino. Insight: upside volatility = GOOD. Penalizuj tylko downside. Formula: Sortino = (Rp - Rf) / DD. Gdzie DD = downside deviation = std dev tylko negative returns. Calculation: (1) Compute monthly/daily returns. (2) Identify negative returns only. (3) Compute std dev tych negative returns. (4) Apply formula. Przykład same strategy: 20% return, risk-free 4%, std dev TOTAL 12%, downside std dev 6%. Sharpe = 1.33. Sortino = (20 - 4) / 6 = 2.67. Sortino 2× lepszy. Interpretacja: Sortino > 2 = good, > 3 = very good, > 4 = excellent. Higher threshold niż Sharpe bo numerator denominator different scale. Practical advantage: trend-following strategies score better Sortino (big wins NIE penalized). Mean-reversion z occasional big loss = HIGHER downside dev = LOWER Sortino. Sortino correctly identifies real risk profile. MAR ratio related: MAR = Return / Max Drawdown. Similar concept — focus on downside. Top traderzy use MAR + Sortino combined. Industry use: hedge funds increasingly report Sortino + Sharpe. Sortino more accurate dla asymmetric returns.

Q: Kiedy każdy ratio lepszy?

Decision when to use which: Sharpe lepszy when: (1) Symmetric return distributions (e.g. index investing — wins and losses similar magnitude). (2) Comparing similar strategies (apples-to-apples). (3) Long-term holdings (years), where variance both sides matters. (4) Conservative allocator perspective (penalize ANY volatility). Sortino lepszy when: (1) Asymmetric returns (trend-following, momentum strategies, options strategies). (2) Active trading (most retail). (3) Strategies z occasional large wins + frequent small losses (CTA, trend traders). (4) Risk-conscious trader (downside matters most). Forex trader perspective: 90% strategies asymmetric (1:2 R/R targets). Sortino ALWAYS lepszy for forex. Comparison example: Strategy A (trend-follow): 80% returns positive small wins, 20% big wins, 0% big losses. Sortino = 5, Sharpe = 1.5. A z perspective Sharpe looks worse — niefair. Strategy B (mean-revert): 70% small wins, 30% small losses, occasional -20% loss. Sortino = 1.0, Sharpe = 1.4. B looks better Sharpe — wprowadza w błąd. Recommendation: Use BOTH. Sharpe + Sortino different angle same data. Disagreement = red flag (one metric misleading).

Q: Calculation in Excel?

Excel formulas dla Sharpe + Sortino: Setup: Column A = monthly returns (e.g. 36 months data). Sharpe: (1) Average return: =AVERAGE(A1:A36). (2) Risk-free rate monthly: 4% rocznie / 12 = 0.33% mies. (3) Excess return: average - rf. (4) Std dev: =STDEV(A1:A36). (5) Sharpe monthly = excess / std dev. (6) Sharpe annual = Sharpe monthly × SQRT(12). Example: average return 1.5%/mies., std dev 3%, rf 0.33%. Sharpe monthly = (1.5 - 0.33) / 3 = 0.39. Annual = 0.39 × 3.46 = 1.35. Sortino: (1) Average return + rf same. (2) Downside deviation: formula bardziej complex. (a) Compute returns below target (rf): IF(A1 < rf, (A1-rf)^2, 0). (b) Sum across months. (c) Divide by total months. (d) Square root. (3) Sortino monthly = excess / downside dev. (4) Annual = × SQRT(12). Example same data: downside dev 1.5% (half total std dev). Sortino monthly = 1.17 / 1.5 = 0.78. Annual = 2.7. Sortino 2× Sharpe = asymmetric return profile potwierdzony. Free template: myfxbook.com calculates auto z trade history. Edgewonk software automated.

Jarosław Wasiński · Opublikowano: 17.05.2026 · 5 min czytania

Ostrzeżenie · YMYL Ten artykuł ma charakter wyłącznie edukacyjny i nie stanowi rekomendacji inwestycyjnej. Handel na rynku Forex wiąże się z wysokim ryzykiem utraty kapitału — według ESMA 74–89% rachunków detalicznych traci pieniądze.

Trend-follow trader Marek: rok return 30%, 80% trades small wins, 20% big wins +10%, 0 big losses. Sharpe 1.5 — wygląda mediocre. Sortino 5.0 — wygląda excellent. Investor allocator widzi Sharpe 1.5 = pass. Reality strategy świetna — Sortino correct. Tu pokazujemy obie ratios + decision framework.

Sharpe ratio — pierwszy standard

Sharpe ratio = 1966 William Sharpe (Nobel laureate). Pierwszy risk-adjusted return measure.

Sharpe formula + interpretacja

FormulaSharpe = (Rp - Rf) / σp

RpPortfolio return

RfRisk-free rate (4% USA Treasury)

σpTotal std dev returns

< 0.5Poor

1.0Good

2.0+Very good

3.0+Excellent (rare)

Sharpe wada — penalizes upside

Sharpe penalizuje upside i downside volatility równo. Strategy big wins (+30% mies.) + small losses (-3% mies.) = high std dev = lower Sharpe.

Ale upside volatility = GOOD! Penalizacja unfair dla asymmetric strategies (trend-follow, momentum).

Sortino ratio — fix downside focus

Sortino formula + interpretacja

FormulaSortino = (Rp - Rf) / DD

DDDownside deviation (negative returns only)

InsightUpside volatility = GOOD, NIE penalize

< 1.0Poor

2.0Good

3.0+Very good

4.0+Excellent (pro level)

Math example same strategy

Calculation comparison

Rok return20%

Risk-free4%

Std dev total12%

Downside dev6%

Sharpe(20-4)/12 = 1.33

Sortino(20-4)/6 = 2.67

Sortino 2× Sharpe= asymmetric returns confirmed

Decision when to use which

Sharpe lepszy: symmetric returns (index investing), long-term holdings, conservative allocator perspective
Sortino lepszy: asymmetric returns (trend-follow), active trading, occasional large wins, risk-conscious trader
Forex perspective: 90% strategies asymmetric (1:2 R/R). Sortino ALWAYS lepszy
Best practice: use BOTH. Disagreement = red flag

Industry benchmarks

Hedge fund ratios

Renaissance MedallionSharpe 2.5, Sortino 4+

Bridgewater Pure AlphaSharpe 0.6, Sortino 1.0

CitadelSharpe 2.0, Sortino 3.5

Most hedge fundsSharpe 0.8-1.5, Sortino 1.2-2.5

Top retail tradersSharpe 1.0-2.0, Sortino 1.5-3.5

Beginning retailSharpe negative, Sortino negative

Excel calculation

Sharpe Excel:

=AVERAGE(returns) — average return
Risk-free monthly = 4%/12 = 0.33%
=STDEV(returns) — std dev
Sharpe = (average - rf) / std dev
Annual = Sharpe × SQRT(12)

Sortino Excel (bardziej complex):

Identify negative returns only: IF(return < rf, (return-rf)^2, 0)
Sum across months
Divide by total months
Square root = downside deviation
Sortino = (average - rf) / downside dev
Annual = × SQRT(12)

„Sharpe vs Sortino NIE pytanie 'który better'. Sharpe = total volatility view. Sortino = downside-only view. Forex traders 90% asymmetric returns = Sortino correctly identifies edge. Use BOTH dla full picture."

Marek case trend-follow

Marek trend-follow strategy

Rok return30%

Win rate80% (positive months)

Big wins distribution20% months +10% each

Big losses0

Std dev total20%

Downside dev5%

Sharpe(30-4)/20 = 1.3

Sortino(30-4)/5 = 5.2

TruthSortino correctly shows edge

Wnioski

Sharpe vs Sortino = dwa risk-adjusted return metrics. Sharpe (1966) = total volatility. Sortino (1980s) = downside-only.

Sharpe formula: (Return - Rf) / Total std dev. Sortino: (Return - Rf) / Downside dev.

Sharpe wada: penalizes upside i downside równo. Unfair dla asymmetric returns.

Sortino fix: tylko downside penalized. Upside volatility = GOOD.

Math example: 20% return, 4% rf, 12% std, 6% downside. Sharpe 1.33, Sortino 2.67. Sortino 2× lepszy.

Forex traders: 90% asymmetric (1:2 R/R). Sortino ALWAYS lepszy.

Benchmarks: Renaissance Sharpe 2.5/Sortino 4+. Most hedge funds Sharpe 0.8-1.5. Top retail Sharpe 1-2.

Best practice: use BOTH. Disagreement = red flag.

Marek case trend-follow: Sharpe 1.3 (mediocre) vs Sortino 5.2 (excellent). Sortino correct.

Excel calculation possible, ale myfxbook + Edgewonk automate.

Powiązane: expectancy formula related metric, risk management baseline, VaR alternative risk measure.

O autorze

Jarosław Wasiński

Redaktor naczelny MyBank.pl · Analityk finansowy i rynkowy

Niezależny analityk i praktyk z ponad 20-letnim doświadczeniem w sektorze finansowym. Twórca i redaktor naczelny portalu MyBank.pl, działającego od 2004 roku. Analiza fundamentalna rynków walutowych i makroekonomicznych od 2007 roku.

Źródła i bibliografia

CFA Institute Risk-adjusted return measures · reference www.cfainstitute.org ↗
Frank Sortino Original Sortino ratio paper · 1980s research www.morningstar.com ↗
William Sharpe Original Sharpe ratio paper · Nobel Prize laureate web.stanford.edu ↗

Najczęstsze pytania

Sharpe ratio mechanika?

Sharpe ratio = pierwszy risk-adjusted measure, 1966 William Sharpe. Formula: Sharpe = (Rp - Rf) / σp. Gdzie Rp = portfolio return, Rf = risk-free rate (e.g. 10-year Treasury 4% USA, German Bund 3% EU), σp = standard deviation portfolio returns. Interpretacja: Sharpe > 1 = good, > 2 = very good, > 3 = excellent. Sharpe < 0.5 = poor risk-adjusted. Przykład forex strategy: rok return 20%, risk-free 4%, std dev returns 12%. Sharpe = (20 - 4) / 12 = 1.33. Decent strategia. Wada: Sharpe penalizuje upside i downside volatility równo. Strategia z big wins (+30% mies.) + small losses (-3% mies.) = high std dev = lower Sharpe. Ale upside volatility = GOOD! Penalizacja unfair. Sharpe drawback typical: trend-following strategies (big wins, small losses) score lower Sharpe than mean-reversion (small wins, small losses, occasional big losses). Mean-reversion looks "better" Sharpe ale real risk DRAWDOWN higher. Industry use: hedge funds Sharpe 1-2 average. Top quartile 2+. Renaissance Medallion 2.5+. Most retail strategies Sharpe 0.5-1.5.

Sortino ratio mechanika?

Sortino ratio = ulepszenie Sharpe, 1980s Frank Sortino. Insight: upside volatility = GOOD. Penalizuj tylko downside. Formula: Sortino = (Rp - Rf) / DD. Gdzie DD = downside deviation = std dev tylko negative returns. Calculation: (1) Compute monthly/daily returns. (2) Identify negative returns only. (3) Compute std dev tych negative returns. (4) Apply formula. Przykład same strategy: 20% return, risk-free 4%, std dev TOTAL 12%, downside std dev 6%. Sharpe = 1.33. Sortino = (20 - 4) / 6 = 2.67. Sortino 2× lepszy. Interpretacja: Sortino > 2 = good, > 3 = very good, > 4 = excellent. Higher threshold niż Sharpe bo numerator denominator different scale. Practical advantage: trend-following strategies score better Sortino (big wins NIE penalized). Mean-reversion z occasional big loss = HIGHER downside dev = LOWER Sortino. Sortino correctly identifies real risk profile. MAR ratio related: MAR = Return / Max Drawdown. Similar concept — focus on downside. Top traderzy use MAR + Sortino combined. Industry use: hedge funds increasingly report Sortino + Sharpe. Sortino more accurate dla asymmetric returns.

Kiedy każdy ratio lepszy?

Decision when to use which: Sharpe lepszy when: (1) Symmetric return distributions (e.g. index investing — wins and losses similar magnitude). (2) Comparing similar strategies (apples-to-apples). (3) Long-term holdings (years), where variance both sides matters. (4) Conservative allocator perspective (penalize ANY volatility). Sortino lepszy when: (1) Asymmetric returns (trend-following, momentum strategies, options strategies). (2) Active trading (most retail). (3) Strategies z occasional large wins + frequent small losses (CTA, trend traders). (4) Risk-conscious trader (downside matters most). Forex trader perspective: 90% strategies asymmetric (1:2 R/R targets). Sortino ALWAYS lepszy for forex. Comparison example: Strategy A (trend-follow): 80% returns positive small wins, 20% big wins, 0% big losses. Sortino = 5, Sharpe = 1.5. A z perspective Sharpe looks worse — niefair. Strategy B (mean-revert): 70% small wins, 30% small losses, occasional -20% loss. Sortino = 1.0, Sharpe = 1.4. B looks better Sharpe — wprowadza w błąd. Recommendation: Use BOTH. Sharpe + Sortino different angle same data. Disagreement = red flag (one metric misleading).

Calculation in Excel?

Excel formulas dla Sharpe + Sortino: Setup: Column A = monthly returns (e.g. 36 months data). Sharpe: (1) Average return: =AVERAGE(A1:A36). (2) Risk-free rate monthly: 4% rocznie / 12 = 0.33% mies. (3) Excess return: average - rf. (4) Std dev: =STDEV(A1:A36). (5) Sharpe monthly = excess / std dev. (6) Sharpe annual = Sharpe monthly × SQRT(12). Example: average return 1.5%/mies., std dev 3%, rf 0.33%. Sharpe monthly = (1.5 - 0.33) / 3 = 0.39. Annual = 0.39 × 3.46 = 1.35. Sortino: (1) Average return + rf same. (2) Downside deviation: formula bardziej complex. (a) Compute returns below target (rf): IF(A1 < rf, (A1-rf)^2, 0). (b) Sum across months. (c) Divide by total months. (d) Square root. (3) Sortino monthly = excess / downside dev. (4) Annual = × SQRT(12). Example same data: downside dev 1.5% (half total std dev). Sortino monthly = 1.17 / 1.5 = 0.78. Annual = 2.7. Sortino 2× Sharpe = asymmetric return profile potwierdzony. Free template: myfxbook.com calculates auto z trade history. Edgewonk software automated.

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