Portfolio Analytics

Sortino Ratio

Definition

What is Sortino Ratio?

Excess return over a target divided by downside deviation.

Example in practice

A strategy with occasional large gains but limited harmful declines may score well on the Sortino ratio.

Keep learning

A statistic ranging from minus one to plus one that describes how two return series move together.

A relationship in which two assets tend to move in the same direction.

A relationship in which two assets tend to move in opposite directions.

An analysis of portfolio performance under severe but plausible scenarios.

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