sortino ratio การใช้

• The Sortino ratio is calculated against a 9.0 % target.
• The Sortino ratio was used to measure investment returns while adjusting for downside volatility.
• The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles.
• The Sortino ratio is used to score a portfolio's risk-adjusted returns relative to an investment target using downside risk.
• The PUT Index had a higher Sharpe ratio, higher Sortino Ratio, and more negative skewness than the S & P 500 Index.
• They have been used in the definition of some financial metrics, such as the Sortino ratio, as they focus purely on upside or downside.
• These downsides apply to all risk-adjusted return measures that are ratios ( e . g ., Sortino ratio, Treynor ratio, upside-potential ratio, etc . ).
• In March 2008, researchers at the Queensland Investment Corporation and Queensland University of Technology showed that for skewed return distributions, the Sortino ratio is superior to the Sharpe ratio as a measure of portfolio risk.
• 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.
• As an example of the different conclusions that can be drawn using these two ratios, notice how the Lehman Aggregate and MSCI EAFE compare-the Lehman ranks higher using the Sharpe ratio whereas EAFE ranks higher using the Sortino ratio.