Search results
Results from the WOW.Com Content Network
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.
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 t-statistic will equal the Sharpe Ratio times the square root of T (the number of returns used for the calculation). The ex-post Sharpe ratio uses the same equation as the one above but with realized returns of the asset and benchmark rather than expected returns; see the second example below.
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 .
For example, what does it mean if one investment has a Sharpe ratio of 0.50 and another has a Sharpe ratio of −0.50? How much worse was the second portfolio than the first? These downsides apply to all risk-adjusted return measures that are ratios (e.g., Sortino ratio, Treynor ratio, upside-potential ratio, etc.).
You’ll find the current ratio with other liquidity ratios. General Electric’s (GE) current assets in December 2021 were $65.5 billion; its current liabilities were $51.95 billion, making its ...
The CROCI/WACC ratio is basically the same metric signaling value creation or destruction. If the ratio is higher than 1, a company creates value, and it destroys value if the ratio is below 1. CROCI can be compared to a company's economic price to book (broadly equivalent to a company's Tobin's Q) to calculate an Economic P/E.
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 ...