Sortino Ratio

Sortino Ratio

The Sortino Ratio is an analog to the Sharpe Ratio, with the standard deviation replaced by the downside deviation. Accordingly, there are two versions: one uses the downside deviation with constant MAR, the other uses the downside deviation with cash as the MAR.


SortinoRatioConstantMAR = (AnnRtn(r1, …, rn) – c)/DownsideDeviationConstantMAR(r1, …, rn)

 
 

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