Sortino Ratio

The Sortino Ratio measures the risk-adjusted return of an investment asset, portfolio or strategy. Sortino Ratio is a modification of the Sharpe ratio.

Sortino Ratio

The Sortino Ratio measures the risk-adjusted return of an investment asset, portfolio or strategy.

 


Interpretation of Sortino Ratio

Sortino Ratio is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target, or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally.


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