Comment calculer le Sortino Ratio: mesure risk-adjusted return downside risk. Sortino = (R_p - MAR) / σ_d. Frank Sortino (USA 1932-2009) SFSU Pension Research Institute 1986-2009. Extension Sharpe Ratio. Sortino > 1 bon, > 2 excellent. France: AMF Autorite Marches Financiers Paris; ACPR Autorite Controle Prudentiel Resolution Paris; SFAF Societe Francaise Analystes Financiers Paris 1961.

Formule Sortino

Équation: Sortino = (R_p - MAR) / σ_d.

Threshold: <0 underperforming, 1-2 bon, 2-3 excellent.

Annualization: monthly × √12.

Comparison Sharpe: Sharpe total stddev, Sortino downside only.

MAR: risk-free Treasury, OAT France 3-4%.

Histoire et contexte

Frank Sortino (USA 1932-2009) Brooklyn College 1955, SFSU 1969-2009 Pension Research Institute Director 1986-2009. Sortino Ratio 1981. William Sharpe Stanford 1966 Nobel 1990. France recherche finance: AMF Autorite Marches Financiers Paris 2003 fondee 500 employes regulator; ACPR Autorite Controle Prudentiel Resolution Paris 2010 banking regulator Banque France; SFAF Societe Francaise Analystes Financiers Paris 1961 fondee 4000 membres CFA equivalent; ANC Autorite Normes Comptables Paris 2009 50 employes; CSOEC Conseil Supérieur Ordre Experts-Comptables Paris 1942 21000 experts comptables. Banques France: BNP Paribas Paris 1848; Societe Générale Paris 1864; Credit Agricole Paris 1894; BPCE Paris 2009. Universites France: HEC Paris 1881 oldest French business school; ESCP Business School Paris 1819 oldest worldwide; ESSEC Cergy 1907; EDHEC Roubaix-Nice 1906; EM Lyon 1872; Sciences Po Paris 1872; INSEAD Fontainebleau 1957; Universite Paris-Dauphine 1968. Bourse Paris CAC 40.

Table Sortino benchmark

• Sortino<0: Underperforming
• Sortino 1-2: bon
• Sortino 2-3: excellent
• S&P 500: 1.5-2.0
• Buffett Berkshire: 3.42
• USA Treasury: 4-5% MAR
• France OAT: 3-4% MAR

Exemples numériques detailles

Exemple 1 - Balanced. Sortino=1.92 bon.

Exemple 2 - Volatile. Sortino=0.41 marginal.

Exemple 3 - Underperforming. Sortino<0.

Exemple 4 - S&P 500. Annualized 1.97.

Exemple 5 - Berkshire. Annualized 3.42.

Limites et considerations

1. Stationarity.
2. Normal distribution.
3. MAR subjective.
4. Sample period.
5. Annualization IID.
6. Trading costs.
7. Survivorship bias.
8. Skill vs luck.
9. Numerical précision.
10. MAR comparison.

Erreurs communes

1. Sortino vs Sharpe.
2. MAR choice.
3. Downside deviation.
4. Sortino > Sharpe.
5. Annualization.
6. Survivorship.
7. Math précision.
8. Daily vs monthly.
9. Stationarity.
10. Future guarantee.

Applications numerotees

1. France finance: AMF Paris 2003 500 employes; ACPR Paris 2010; SFAF Paris 1961 4000 membres; ANC Paris 2009; CSOEC Paris 1942 21000 experts.
2. Banques France: BNP Paribas Paris 1848; Societe Générale Paris 1864; Credit Agricole Paris 1894; BPCE Paris 2009.
3. Universites France: HEC Paris 1881; ESCP 1819 oldest; ESSEC Cergy 1907; EDHEC; EM Lyon 1872; Sciences Po Paris 1872; INSEAD Fontainebleau 1957.
4. USA hedge funds: Renaissance NY Jim Simons; Bridgewater CT $200B; Two Sigma NYC; Citadel Chicago.
5. USA asset management: BlackRock NYC $9.4T; Vanguard PA $7.5T; State Street MA $4T; Fidelity $4.5T.
6. USA universites: Stanford GSB 1925 Sharpe; NYU Stern 1900; Wharton Penn 1881; Booth Chicago.
7. Famous USA Nobel: Sharpe 1990; Markowitz 1990; Fama 2013; Merton Scholes 1997; Kahneman 2002.
8. Software: Bloomberg Terminal $24000; FactSet; Morningstar; R; Python quantlib.
9. Risk metrics: VaR JP Morgan 1989; CVaR 2000; Calmar 1991; Omega 2002.
10. Storia Sortino: SFSU Pension Research Institute 1986-2009; book 2010 Elsevier.

Pour support

Pour questions techniques: info@calcoi.com. Outil educatif performance financiere. Références Sortino 1981, 2010, Sharpe 1966, Markowitz 1952.

Mis à jour en juillet 2026