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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.
In many cases, manager or index rankings will be different, depending on the risk-adjusted measure used. These patterns will change again for different values of t. For example, when t is close to the risk-free rate, the Sortino Ratio for T-Bill's will be higher than that for the S&P 500, while the Sharpe ratio remains unchanged.
Roy's ratio is also related to the Sortino ratio, ... and is risk-free. The Sharpe ratio is: ... Calculating and Interpreting Sharpe Ratios online – Cloud calculator
These downsides apply to all risk-adjusted return measures that are ratios (e.g., Sortino ratio, Treynor ratio, upside-potential ratio, etc.). M 2 has the enormous advantage that it is in units of percentage return, which is instantly interpretable by virtually all investors.
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 .
The Best Social Security Calculators You Can Use for Free. David Beren. January 8, 2025 at 7:37 AM.
The risk-free asset is the (hypothetical) asset that pays a risk-free rate. In practice, short-term government securities (such as US treasury bills) are used as a risk-free asset, because they pay a fixed rate of interest and have exceptionally low default risk. The risk-free asset has zero variance in returns if held to maturity (hence is ...
Over the past year, a number of high-profile companies have done about-faces on diversity, including Meta (), Walmart (), McDonald's (), Lowe’s (), Ford (), Tractor Supply (), and John Deere ...