Adjusting for downside risk: Calmar, Sterling, and Sortino (Excel)

Is the standard deviation the best measure for portfolio risk? Some would argue not, as it is taking into account the upside risk together with the downside risk. There are risk-adjusted return measures that improve upon Sharpe ratio in that regard. Today we are investigating the concepts of drawdown and semideviation as well as the portfolio performance measures that are built upon them, namely, Calmar, Sterling, and Sortino ratios.
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[@NEDLeducation]

You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation

[@joeaoun6321]

I very much appreciate your videos and efforts to make these concepts understandable. Your spreadsheets are also excellent. Please keep up the great work

[@NEDLeducation]

Hi Joe, and thanks so much for such kind words.

[@sjsphotog]

very nice video

[@Carlosconga]

I couldn’t find what steering ratio was online. Great explanation!

[@surendrabarsode8959]

Excellent video. Keep it up! Thanks

[@Tom-cg9nu]

Great Video! Keep it up.

[@thezorrinofromgemail6978]

Excellent and very usefull video. Thanks a lot

[@k.ashokvardhanshetty6010]

Good video. Thanks

[@lordoffraternity]

Great channel 💯👌🏻

[@way2worldoffinance436]

MANY THANKS

[@traderscode]

Nice video

[@selimbahayldz4544]

The videos are very helpful, thanks a lot. Can we calculate portfolio weights that maximize the Calmar (Sterling-Sortino) ratio in Excel?

[@NEDLeducation]

Hi Selim, and glad you liked the video! Yes, you can use Excel Solver to optimise the weights of a portfolio, referring to a preferred ratio as your objective function. I show how to implement Solver to calibrate portfolio weights, for example, here: kzbin.info/www/bejne/l3OkZIhnnrN2bdU Hope it helps!

[@Oksel997]

If you download the risk-free rate from FRED (such as the 3TBMS), Is the rate annualized even though the data frequency is monthly? Do i have to divide it by 12 to get the monthly rate? Lets assume i want to find the sharpe ratio and the sortino ratio for nasdaq, which risk free rate is appropriate from 2013 to 2022?

[@lalithseelanatha3933]

The way you calculated semivariance in the spread sheet is different to the way you explain here. Why is it?

[@alexsiew1976]

NEDL_DownsideRisk.xlsx the Spreadsheet still there? Cant find. TQ.

[@NEDLeducation]

Hi Alex, have updated the portfolio evaluation file to include downside-risk adjusted measures. Hope it helps!

[@muhammadanandafakhri]

sir may u sharing that file on google sheets? I want to know the formula and how to do it. Thx :)

[@NEDLeducation]

Hi Muhammad and thanks for the suggestion! All the spreadsheets are now uploaded to Google Drive. Please check out the pinned comments under each video. Hope it helps.