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Introduction to Risk Metrics: Sharpe Ratio, Sortino Ratio, Drawdown

A clear, formula-first walkthrough of the three risk metrics every serious investor and systematic trader needs: the Sharpe ratio, the Sortino ratio, and maximum drawdown. Learn what each one actually measures, how to calculate it on real Indian market data, where each one breaks down, and how to read them together instead of in isolation.

Sharpe RatioSortino RatioDrawdown and Recovery
MODULES
5
DURATION
~3.5 hrs
TRACK
Quantitative Finance

What You'll Master

Learn why risk-adjusted returns matter more than raw returns
Calculate and interpret the Sharpe and Sortino ratios
Understand drawdown and recovery to judge portfolio risk
Access Level
LEARNER
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Everything included
Full Text Playbooks
Actionable Exercises
Mobile Reading Mode
Lifetime Updates

Curriculum Breakdown

Chapter 1: Why Risk-Adjusted Returns Matter

3 Lessons
▶
Why Raw Returns Lie: The Case for Risk-Adjusted Metrics12 min
Preview
▶
Volatility as a Proxy for Risk: Strengths and Blind Spots12 min
Preview
▶
Case Study: Two Nifty Strategies, Same Return, Very Different Risk13 min

Chapter 2: The Sharpe Ratio

4 Lessons
▶
The Sharpe Ratio Formula and What It Actually Measures13 min
▶
Choosing a Risk-Free Rate in India: T-Bills, Repo, and FD Rates12 min
▶
Calculating Sharpe Ratio Step by Step for a Nifty 50 Portfolio14 min
▶
Limitations of Sharpe: Why It Punishes Good Volatility Too12 min

Chapter 3: The Sortino Ratio

3 Lessons
▶
Downside Deviation: Isolating the Risk That Actually Hurts13 min
▶
Sharpe vs Sortino: Same Portfolio, Different Verdict13 min
▶
Where Sortino Falls Short Too11 min

Chapter 4: Drawdown and Recovery

4 Lessons
▶
Maximum Drawdown: Measuring the Worst-Case Fall13 min
▶
Drawdown Duration and Recovery Time: Why Depth Isn't the Whole Story12 min
▶
The Calmar Ratio and Other Drawdown-Based Metrics12 min
▶
Case Study: Drawdowns Across Nifty, Bank Nifty, and Individual Stocks in the 2020 Crash14 min

Chapter 5: Putting It Together

3 Lessons
▶
Building a Simple Risk Dashboard: Sharpe, Sortino, and Drawdown Side by Side13 min read
▶
Common Mistakes When Comparing Strategies Using Risk Metrics12 min read
▶
Key Takeaways and Where to Go Next8 min read