
	Where results make sense

Topic: Sortino ratio

Related Topics

Sharpe ratio

Modern portfolio theory

Arbitrage pricing theory

Beta coefficient

Portfolio (finance)

Standard deviation

Systematic risk

Specific risk

William Forsyth Sharpe

Diversification

Cash flow

Expected return

Expected value

Present value

Variance

In the News (Sun 29 Nov 09)

Northern Trust

Marvin Harrison

Peter Chernin

Gary Locke

Match Play

Penelope Cruz

Mickey Rourke

AR Rahman

Danny Boyle

Hugh Jackman

	NationMaster - Encyclopedia: Sortino ratio
		It is an extension of the Sharpe ratio.
		The Sortino ratio also uses the excess returns for the numerator; however, the Sortino ratio acknowledges that not all deviation from the mean is unacceptable for investors.
		Using the Sortino ratio, lump-sum investing is the preferred investing strategy for all asset classes with the exception of government bonds, whereas the UPR ranks value averaging as the preferred investing strategy for all assets with the exception of small-cap stocks.
	www.nationmaster.com /encyclopedia/Sortino-ratio (587 words)

	Sortino Ratio vs Sharpe Ratio : Calculating Sortino Ratio
		The answer is still open to debate, and the Sharpe and Sortino Ratios reflect two separate camps of thought.
		Funds that cite their Sortino Ratio have traditionally been those with the least tolerance for risk.
		In these cases, the Sortino may be presented as a compliment to an investment thesis that stresses the containment of losses to a minimum.
	hedgeco.net /sharpe-ratio-sortino-ratio.htm (390 words)

	Sortino ratio
		A variation of the Sharpe ratio which differentiates harmful volatility from volatility in general by replacing standard deviation with downside deviation in the denominator.
		Thus the Sortino Ratio is calculated by subtracting the risk free rate from the return of the portfolio and then dividing by the downside deviation.
		This ratio allows investors to assess risk in a better manner than simply looking at excess returns to total volatility, since such a measure does not consider how often the price of the security rises as opposed to how often it falls.
	www.fxwords.com /s/sortino-ratio.html (128 words)

	FPA Journal - Past Issues & Articles - 2003 Issue - January Issue - Article 11
		The Sortino ratio also uses the excess returns for the numerator; however, the Sortino ratio acknowledges that not all deviation from the mean is unacceptable for investors.
		Using the Sortino ratio, lump-sum investing is the preferred investing strategy for all asset classes with the exception of government bonds, whereas the UPR ranks value averaging as the preferred investing strategy for all assets with the exception of small-cap stocks.
		For both portfolios, according to the Sortino ratio and the upside potential ratio, the results are consistent: value averaging is the preferred investing strategy, with DCA being suboptimal.
	www.fpanet.org /journal/articles/2003_Issues/jfp0103-art11.cfm?renderforprint=1 (2874 words)

	Sortino ratio Definition
		A variation of the Sharpe ratio which differentiates harmful volatility from volatility in general by replacing standard deviation with downside deviation in the denominator.
		Thus the Sortino Ratio is calculated by subtracting the risk free rate from the return of the portfolio and then dividing by the downside deviation.
		This ratio allows investors to assess risk in a better manner than simply looking at excess returns to total volatility, since such a measure does not consider how often the price of the security rises as opposed to how often it falls.
	www.investorwords.com /5793/Sortino_ratio.html (135 words)

	Pro-Trading-Profits: Sortino Ratio - pro-trading-profits
		Consequently, the Sharpe ratio for an investment that had 0.0% return one month and -10.0% the next will be the same for one that had a gain of 5.0% in the first month and a loss of 5.0% in the second month.
		And as the Sharpe Ratio decreases, so the performance of the investment (per unit of risk) is also seen to decrease.
		Essentially, what the Sortino Ratio does is peel away at the exterior of the Sharpe Ratio to see if, in this case, it is as good as it seems.
	www.pro-trading-profits.com /analysis/sortino.asp (611 words)

	Hedge Fund Consistency Index, Hedge Funds Research
		The Sortino Ratio was created by Frank A. Sortino, and is a variation of the Sharpe Ratio; the key difference being that the Sortino ratio differentiates harmful volatility from general volatility using a value for downside deviation rather than upside.
		The Sortino ratio is a measure of a risk-adjusted return of an investment asset.
		It is an extension of the Sharpe ratio.
	www.hedgefund-index.com /d_sortino.asp (1320 words)

	Sortino Ratio - pro-option-profits
		Consequently, the Sharpe ratio for an investment that had 0.0% return one month and -10.0% the next will be the same for one that had a gain of 5.0% in the first month and a loss of 5.0% in the second month.
		And as the Sharpe Ratio decreases, so the performance of the investment (per unit of risk) is also seen to decrease.
		Essentially, what the Sortino Ratio does is peel away at the exterior of the Sharpe Ratio to see if, in this case, it is as good as it seems.
	www.pro-option-profits.com /analysis/sortino.asp (611 words)

	Sharpe Ratio and Sortino Ratio for a portfolio in SQL - The Code Project - C# Database
		Sharpe Ratio and Sortino Ratio for a portfolio in SQL
		The Sharpe Ratio is defined as the portfolio's annualized return less the risk-free rate, divided by the portfolio's volatility.
		Proponents of an alternative metric, the Sortino Ratio, argue that downside deviation is the only type of variance that is harmful to an investment and as such, the metric should calculate variance only on the standard deviation of downside returns.
	www.codeproject.com /useritems/sharperatio.asp (1227 words)

	Sortino Ratio
		A measure of excess return per unit of risk based on downside semi-variance, instead of total risk (the standard deviation of the portfolio) used by the Sharpe ratio.
		Since the Sortino ratio takes into account only the downside size and frequency of returns, it measures the reward to negative volatility trade-off.
		Using Sharpe ratios to compare investment alternatives in these instances can be misleading because the Sharpe measure of risk, portfolio standard deviation, penalizes portfolios for positive upside returns as much as the undesirable downside returns.
	www.russell.com /us/glossary/analytics/sortino_ratio.htm (135 words)

	OANDA FXMessage: Sortino ratio; a better volatility measurement?
		A sortino ratio is a much better indicator of potential downside risk than a sharpe ratio.
		Funds that quote their Sortino ratio with some pride tend to be risk-averse when losses are involved - This may indicate good MM/trading psychology as the Sortino ratio users tend to focus on the containment of losses.
		The Sortino ratio is a bit of a hack job, and as an investor who is offering to lock up money for a period of time, I will be sceptical of a metric which may obscure differences in the time structures of positive and adverse volatility.
	www2.oanda.com /cgi-bin/msgboard/ultimatebb.cgi?ubb=get_topic;f=16;t=006573 (1805 words)

	bfinance - news article (Site not responding. Last check: 2007-11-02)
		The Sortino ratio is similar to the Sharpe ratio, but the denominator is calculated only with data from periods where the performance was inferior to the MAR.
		For the sake of the calculation of this ratio, the downside volatility is to be understood as the standard deviation of the returns that are below the threshold (MAR).
		In the end, the Sortino ratio measures the return adjusted to the downside volatility of a portfolio.
	www.bfinance.co.uk /inst/article.do?topId=21&docid=N12155 (462 words)

	HedgeFund.net - Hedge Fund Strategy Definitions
		The Jensen Alpha is equal to the Investment’s average return in excess of the risk free rate minus the Beta times the Benchmark’s average return in excess of the risk free rate.
		Sortino Ratio – The Sortino Ratio is similar to the Sharpe Ratio, except that instead of using standard deviation as the denominator, it uses Downside Deviation.
		Treynor Ratio - The Treynor Ratio, developed by Jack Treynor, is similar to the Sharpe Ratio, except that it uses Beta as the volatility measurement.
	www.hedgefund.net /glossary.php3 (2849 words)

	BluMont Capital - Glossary of Terms
		The Sharpe Ratio is a measure of risk-adjusted performance.
		Whereas the Sharpe ratio focuses on all volatility ("good" or "bad"), Sortino uses the downside standard deviation to highlight only the bad volatility ¾ which is what concerns investors the most.
		Sortino compares portfolio return to a MAR (minimum acceptable return), which sometimes is defined as treasury-bill yields.
	www.iperform.com /main/glossary_s.asp (600 words)

	LCG Associates - Biography of Frank Sortino
		Sortino is Director of the Pension Research Institute in San Francisco where he has conducted projects with many major, multinational firms.
		Sortino received his MBA from U.C. Berkeley and his Ph.D. in Finance from the University of Oregon.
		Sortino has done extensive work with LCG Associates, Inc. to develop his downside risk theories and practical applications.
	www.lcgassociates.com /bio_sortino.html (134 words)

	Investment Performance Analysis - Sortino Ratio
		Similar to the Sharpe Ratio, the Sortion Ratio indicates the excess return per unit of 'risk' associated with the 'excess return'.
		While 'risk' in the context of the Sharpe ratio means volatility, the Sortino Ratio uses downside-volatility.
		This isn't so much due to the complexities (not) of the calculations involved, but rather the result of the fact that the Sortino ratio was for commerical advisory purposes.
	www.andreassteiner.net /performanceanalysis/?External_Analysis:Risk-Adjusted_Performance_Measures:Sortino_Ratio (259 words)

	Sortino ratio
		A variation of the Sharpe ratio which differentiates harmful volatility from volatility in general using a value for downside deviation.
		The Sortino ratio is the excess return over risk-free rate over the downside semi-variance, so it measures the return to "bad" volatility.
		Similar to the "Sharpe Ratio," except it uses downside deviation for the denominator, whereas Sharpe uses standard deviation.
	www.investhub.com /glossary/Sortino_ratio.htm (111 words)

	Pension Research Institute: Home
		In order to implement the quantitative tools developed at PRI we have formed an investment management company called Sortino Investment Management.
		Dr. Frank A. Sortino is Director of the Pension Research Institute in Menlo Park
		Upside potential ratio and Omega excess are calculated on this system.
	www.sortino.com (241 words)

	Interpreting the Sharpe Ratio
		Although the Sharpe Ratio is frequently presented in simplified form as a single value, understanding it’s unsolved construction may provide additional insight.
		The implication of this arrangement is that the Sharpe Ratio is a measurement of return per unit of risk.
		It is for this reason that an investment’s Sharpe Ratio is generally considered to be improving as its value increases, and vice versa.
	www.yillionaire.com /sharpe_ratio.htm (636 words)

	Ratios - pro-option-profits
		Ratios have always been an excellent way of analysing financial performance, comparing and quantifying as they do the relationship between two (or more) distinct parameters.
		The three ratios we use are the Sharpe Ratio, the Sortino Ratio and the Sterling Ratio.
		The three ratios all work off the same scale: a value equal to 0 is moderate, 1 is considered good, greater than 1.5 - 2 is very good.
	www.pro-option-profits.com /analysis/ratios.asp (135 words)

	SORTINO: Best reviews of the day about Sortino, Sanguinetto, Gozzano and Villabate. (Site not responding. Last check: 2007-11-02)
		Sortino ratio The Downside Risk This is printed on the square root of investment advice that invests in section 56051012 or indirectly.
		The Differences 2304 Upside potential ratio The opposite was generated with her soccer talent on the UMass sports NESN Home home run with regard to exceed ninety days from learning from harassment under HRS 5861 or other authors.
		In the riskfree max 100 3 generations Sortino Ratio This is nothing to the defense and files pursuant to weigh the traditional manner Sortino, using standard of returns.
	www.viewitaly.org /Sortino.html (620 words)

	investment-performance.com - Information Ratio n Sortino Ratio
		Sortino Ratio measures the excess return against the minimum accepted target against downside risk (compared to the minimum target) and again only useful if the portfolio is managed with this target in mind.
		Depending on what you want as an investor Sharpe ratio or M squared are often used to rank mutual funds on a risk-adjusted basis.
		If both Information n Sortino Ratio are not the right measures of mutual funds, then what are the right measures for evaluating performance of mutual funds looking at both risk and returns.
	www.investment-performance.com /forums/showthread.php?p=534 (366 words)

	hStatistics page help for Futures Examiner: to compare results from Futures Trading Systems
		The Sharpe ratio is a measure of the average monthly return in excess of the risk-free return, relative to the standard deviation of the monthly returns.
		The Sterling ratio is a measure, over the last 3 years, of the average annual return, relative to some measure of drawdown.
		The Sortino ratio is a measure of the average monthly return in excess of the risk-free return, relative to the standard deviation of the monthly disappointments, where "disappointment" means the amount by which the return falls below the risk-free return.
	futuresexaminer.com /help_stats.php (3390 words)

	The Gateway Fund: What's New
		To see what Sortino doesn't like about variance, let's take a look at what it is. You draw a scatterplot of a fund's month-by-month results over some long period, like a decade.
		But, as the table shows, a higher Sortino ratio — incorporating only downside risk — may be the better guide to performance in a down market.
		Sortino, on the other hand, sets a benchmark return (based on the type of investor and fund) and then counts anything below it as a loss.
	www.gatewayfund.com /news_forbes.asp (1205 words)

	Sortino ratio and Stock Trading at TradeStars + Stock Trading (Site not responding. Last check: 2007-11-02)
		Sortino ratio and stock trading - your one stop source for Sortino ratio immediately with instant question FAQs.
		We also have that some people may be lured into the false belief that Sortino ratio is a major problems and abuses in the Sortino ratio industry and summarizes the legal actions brought to date.
		For instance, assuming that a Sortino ratiotrade costs $16 and an average of 29 transactions are conducted per day, an investor would need to generate an else, you can lose more than the funds you originally placed at risk.
	www.tradestars.com /content/Sortino-ratio.asp (213 words)

	CHI-Model (Site not responding. Last check: 2007-11-02)
		The Sharpe Ratio is calculated by dividing the excess return (i.e.
		The Sortino Ratio calculates the excess return, which is compared to the downside volatility (semi variance).
		This ratio is similar to the Sharpe Ratio, but the normal variance used by the Sharpe Ratio considers both tails of the distribution and therefore does not indicate any possible shifting caused by a fat tail.
	www.hvb-modeltrading.de /chi/en/pub/291.htm (336 words)

	EDHEC-Risk - Alternative performance measures for hedge funds
		The Sortino ratio provides a solution to the asymmetry of the return distribution via a downside deviation instead of a standard deviation, but it does not take higher moments into account with accuracy.
		To compare the efficiency of the performance indicators, the authors examine the ranking of the performance of 44 indices by the Sharpe ratio, the Sortino ratio, the Omega and the Stutzer index.
		In comparison with the Sharpe ratio, 28 funds have the same ranking according to the Sortino ratio, 36 funds according to the Omega and 37 funds according to the Stutzer index.
	www.edhec-risk.com /research_news/choice/RISKReview1057071432394204462 (714 words)

	Wilmott Forums - Sortino Ratio - Excel formula (Site not responding. Last check: 2007-11-02)
		Be aware that the Sortino ratio is computed over the entire period from A1 to An, you may want to annualize the results or state them over some other period.
		As an aside, Sortino points out that it's probably not correct to annualise using the standard square root of the period calculation - Sortino - seem to recall seeing some work that suggests long track records when annualised show increasingly lower downside deviations..
		So Sortino is saying an annualized 3-month Sortino ratio is a bad predictor of 1-year Sortino ratios; not that you shouldn't annualize or should use some other algorithm.
	www.wilmott.com /messageview.cfm?catid=4&threadid=22820 (607 words)

	Hedge Fund Center: Objective, educational information on hedge funds (Site not responding. Last check: 2007-11-02)
		Jack, A Sortino Ratio is merely an adaptation of the Sharpe Ratio: it uses the downward standard deviation, or sometimes called semi-deviation, in lieu of the traditional standard deviation.
		So, if a hedge fund manager decides to use the Sortino ratio, it is an indication of how they expect to be viewed by the prospective investor and not just a measurement of their risk managment.
		Yes, I would infer from a manager's use of the Sortino Ratio, or Sterling Ratio (which uses Max Drawdown as the divisor), that they want to convey that they are focused on capping downside movements.
	www.hedgefundcenter.com /wrapper.cfm?article_type=basics&content_id=170&content_type=articles&aff_id=0 (1150 words)

Try your search on: Qwika (all wikis)