# Calculating Sortino Ration (Downside Deviation)

T

#### TimH

I am trying to write a formula to calculate the Sortino Ratio defined as
(Expected (Observed) Return - Minimum Acceptable Return(MAR))/Downside
Deviation. Downside Deviation is the Standard Deviation of those returns
that are < MAR. I am familiar with STDEV function and IF function. Is there
a way to embed the IF function into the STDEV function so that it calculates
the STDEV only on the values in the range below a certain level?

T

T

#### TimH

I believe this will return the STDEV if it is below a certain level. What
I'm looking for is to calulate the STDEV of only those values below a certain
level. For example. Let's say the dataset is 6%, 8%, 3%, 2%, 9%,-4%. And
the MAR is 5%. I want to calculate the STDEV(3%, 2%, -4%) that is, only
those values below 5% other values are excluded.

G

#### Glenn

TimH said:
I believe this will return the STDEV if it is below a certain level. What
I'm looking for is to calulate the STDEV of only those values below a certain
level. For example. Let's say the dataset is 6%, 8%, 3%, 2%, 9%,-4%. And
the MAR is 5%. I want to calculate the STDEV(3%, 2%, -4%) that is, only
those values below 5% other values are excluded.

With your data in A1:A6, array-enter the following:

=STDEV(IF(A1:A6<0.05,A1:A6,""))

M

#### Max

Try, array-entered*:
=STDEV(IF(A1:A10<5%,A1:A10))

*Press CTRL+SHIFT+ENTER to confirm the formula
--
Max
Singapore
http://savefile.com/projects/236895
xdemechanik

T

M

#### Moti wig

Hi Tim

I look for the full Sortino ratio calculation, i read in.eggheadcafe.com that 2 years ago
you write this formula to EXCEL. i will be very grateful if you can help with the sortino ratio calculation in excel , the MAR that you use ,and what is a "good numbers" as result

Thank you
Moti

#### tyrian

There's a spreadsheet to calculate the Sortino Ratio here.

Hi Tim

I look for the full Sortino ratio calculation, i read in.eggheadcafe.com that 2 years ago
you write this formula to EXCEL. i will be very grateful if you can help with the sortino ratio calculation in excel , the MAR that you use ,and what is a "good numbers" as result

Thank you
Moti

#### tyrian

Examine the Sortino Ratio Excel spreadsheet here

Hi Tim

I look for the full Sortino ratio calculation, i read in.eggheadcafe.com that 2 years ago
you write this formula to EXCEL. i will be very grateful if you can help with the sortino ratio calculation in excel , the MAR that you use ,and what is a "good numbers" as result

Thank you
Moti