A Microsoft Office (Excel, Word) forum. OfficeFrustration

If this is your first visit, be sure to check out the FAQ by clicking the link above. You may have to register before you can post: click the register link above to proceed. To start viewing messages, select the forum that you want to visit from the selection below.

Go Back   Home » OfficeFrustration forum » Microsoft Excel » Worksheet Functions
Site Map Home Register Authors List Search Today's Posts Mark Forums Read  

Calculating Sortino Ration (Downside Deviation)



 
 
Thread Tools Display Modes
  #1  
Old August 26th, 2008, 04:45 PM posted to microsoft.public.excel.worksheet.functions
timh
external usenet poster
 
Posts: 13
Default Calculating Sortino Ration (Downside Deviation)

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?

  #2  
Old August 26th, 2008, 05:00 PM posted to microsoft.public.excel.worksheet.functions
Teethless mama
external usenet poster
 
Posts: 3,722
Default Calculating Sortino Ration (Downside Deviation)

=IF(STDEV(A1:A5)your value,STDEV(A1:A5),"")


"TimH" wrote:

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?

  #3  
Old August 26th, 2008, 05:07 PM posted to microsoft.public.excel.worksheet.functions
timh
external usenet poster
 
Posts: 13
Default Calculating Sortino Ration (Downside Deviation)

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.

"Teethless mama" wrote:

=IF(STDEV(A1:A5)your value,STDEV(A1:A5),"")


"TimH" wrote:

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?

  #4  
Old August 26th, 2008, 05:16 PM posted to microsoft.public.excel.worksheet.functions
Glenn[_6_]
external usenet poster
 
Posts: 1,245
Default Calculating Sortino Ration (Downside Deviation)

TimH wrote:
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:A60.05,A1:A6,""))
  #5  
Old August 26th, 2008, 05:23 PM posted to microsoft.public.excel.worksheet.functions
Max
external usenet poster
 
Posts: 8,574
Default Calculating Sortino Ration (Downside Deviation)

Try, array-entered*:
=STDEV(IF(A1:A105%,A1:A10))

*Press CTRL+SHIFT+ENTER to confirm the formula
--
Max
Singapore
http://savefile.com/projects/236895
Downloads:17,500 Files:358 Subscribers:55
xdemechanik
---
"TimH" wrote:
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.


  #6  
Old August 26th, 2008, 05:48 PM posted to microsoft.public.excel.worksheet.functions
timh
external usenet poster
 
Posts: 13
Default Calculating Sortino Ration (Downside Deviation)

That works! Thanks a lot.

"Max" wrote:

Try, array-entered*:
=STDEV(IF(A1:A105%,A1:A10))

*Press CTRL+SHIFT+ENTER to confirm the formula
--
Max
Singapore
http://savefile.com/projects/236895
Downloads:17,500 Files:358 Subscribers:55
xdemechanik
---
"TimH" wrote:
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.


  #7  
Old August 27th, 2008, 04:46 AM posted to microsoft.public.excel.worksheet.functions
Max
external usenet poster
 
Posts: 8,574
Default Calculating Sortino Ration (Downside Deviation)

Welcome
--
Max
Singapore
http://savefile.com/projects/236895
Downloads:17,500 Files:358 Subscribers:55
xdemechanik
---
"TimH" wrote in message
...
That works! Thanks a lot.



 




Thread Tools
Display Modes

Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

vB code is On
Smilies are On
[IMG] code is Off
HTML code is Off
Forum Jump


All times are GMT +1. The time now is 11:41 PM.


Powered by vBulletin® Version 3.6.4
Copyright ©2000 - 2024, Jelsoft Enterprises Ltd.
Copyright ©2004-2024 OfficeFrustration.
The comments are property of their posters.