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The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. [1] It 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.
Download as PDF; Printable version; ... Sortino ratio; Omega ratio; Bias ratio; ... with a focus in Corporate Finance, Valuation and Investments. Updated Data, Excel ...
The following table shows that this ratio is demonstrably superior to the traditional Sharpe ratio as a means for ranking investment results. The table shows risk-adjusted ratios for several major indexes using both Sortino and Sharpe ratios. The data cover the five years 1992-1996 and are based on monthly total returns.
The upside-potential ratio is a measure of a return of an investment asset relative to the minimal acceptable return. The measurement allows a firm or individual to choose investments which have had relatively good upside performance, per unit of downside risk .
In this equilibrium, relative supplies will equal relative demands: given the relationship of price with supply and demand, since the risk-to-reward ratio is "identical" across all securities, proportions of each security in any fully-diversified portfolio would correspondingly be the same as in the overall market.
Your debt-to-income ratio (DTI) is your total monthly debt payments divided by your total gross monthly income. It helps lenders determine your approval odds and the likelihood of you being able ...
The CAPM, however, includes both halves of a distribution in its calculation of risk. Because of this it has been argued that it is crucial to not simply rely upon the CAPM, but rather to distinguish between the downside risk, which is the risk concerning the extent of losses, and upside risk, or risk concerning the extent of gains.
Portfolio optimization is the process of selecting an optimal portfolio (asset distribution), out of a set of considered portfolios, according to some objective.The objective typically maximizes factors such as expected return, and minimizes costs like financial risk, resulting in a multi-objective optimization problem.