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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? |
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