Tag
#sortino-ratio
3 articles
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Downside Deviation Explained: Measuring Only the Volatility That Hurts
Downside deviation measures how far returns fall below a chosen minimum, ignoring upside variation entirely. It is the denominator that makes the Sortino ratio different from Sharpe.
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Sharpe vs Sortino vs Calmar: Which Risk-Adjusted Ratio Answers Which Question?
Sharpe, Sortino and Calmar all divide return by risk, but each defines risk differently: total volatility, downside volatility, and worst peak-to-trough loss.
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What Is the Sortino Ratio? Return per Unit of Downside Risk
The Sortino ratio divides excess return by downside deviation instead of total volatility, so only losses count as risk. It is the fairer measure for asymmetric strategies.
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