Sharpe Ratio
Risk-adjusted performance measure comparing excess return with total volatility across portfolios or strategies.
Sharpe, Sortino, and Treynor ratio terms used to compare return with risk taken.
Sharpe, Sortino, and Treynor Ratios terms measure portfolio return, attribution, benchmark-relative results, tracking error, and risk-adjusted performance.
Use this branch when the question depends on how performance was calculated, attributed, benchmarked, or adjusted for risk.
| Term | Use it for |
|---|---|
| Sharpe Ratio | Return calculation, attribution, benchmark, capture ratio, tracking error, alpha, Sharpe, Sortino, Treynor, or risk-adjusted performance terms. |
| Sortino Ratio | Return calculation, attribution, benchmark, capture ratio, tracking error, alpha, Sharpe, Sortino, Treynor, or risk-adjusted performance terms. |
| Treynor Ratio | Return calculation, attribution, benchmark, capture ratio, tracking error, alpha, Sharpe, Sortino, Treynor, or risk-adjusted performance terms. |
Check the return formula, cash-flow timing, benchmark, fee treatment, reference rate or hurdle rate input, volatility period, attribution model, currency, and whether performance is gross, net, historical, or hypothetical.
This page is educational and does not recommend a specific portfolio, security, fund, tax treatment, or account choice.
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Risk-adjusted performance measure comparing excess return with total volatility across portfolios or strategies.
The Sortino ratio measures excess return per unit of downside deviation, focusing on harmful volatility rather than total volatility.
The Treynor ratio measures excess return per unit of systematic risk, using beta as the risk measure.