Difference between Sortino Ratio and Treynor Ratio : r/CFA - Reddit
The Sortino ratio accounts for downside deviation. If the client is concerned with losses and needs to meet a certain minimum return, we can use the Sortino ratio to determine the funds likelihood of …
Doubts on the use of Sharpe and Sortino ratios - Reddit
Mar 2, 2023 · I'm having trouble understanding how to use the information provided by Sharpe and Sortino ratios. I'm comparing several strategies in demo accounts , all of them during the same …
Why use Sharpe over Sortino ratio? : r/algotrading - Reddit
Feb 1, 2023 · Why do so many of the posts on here only include the Sharpe ratio? From what I understand the Sortino ratio is a better measure of profitability, since it doesn’t penalize for upward …
Sortino Ratio vs Sharpe ratio : r/CFA - Reddit
May 24, 2022 · The denominator in the Sortino ratio – lower semideviation – accounts for all returns below the mean return, not merely those below the minimum target return. It's certainly possible to …
How much does Sharpe and Sortino ratio's matter for options?
Feb 6, 2024 · How much does Sharpe and Sortino ratio's matter for options? My sharpe and Sortino ratio went from 6.51 and 14.66 to a little 3.34 and 5.91 after I took the biggest single day loss ever, …
Sortino Ratio : r/factovar - Reddit
Feb 21, 2024 · Sortino Ratio, similar to the Sharpe Ratio, is a measure used in portfolio risk management to evaluate the risk-adjusted returns of an investment or portfolio. However, unlike the …
Less discussed Mutual Fund Performance ratios - Reddit
Apr 12, 2024 · The greater a portfolio’s Sharpe ratio, the better its risk-adjusted performance. 6) Sortino ratio It is an mutual fund risk ratio that measures a fund’s performance with respect to its downward …
Sortino vs Sharpe : r/algotrading - Reddit
Jul 17, 2022 · Sharpe is excess return per unit of risk. Sortino is excess return per unit of DOWNSIDE risk in a portfolio. Both measures are important to consider when constructing a portfolio, but all else …
Famous Hedge Funds Sharpe/Sortino Ratios : r/algotrading - Reddit
Sep 30, 2022 · 26 votes, 45 comments. Anyone got a good site that lists famous hedge funds past sharpe/sortino ratios all in one place? Which ones have been the top…
Lets discuss performance metrics: Why wouldn't a portfolio ... - Reddit
Dec 22, 2013 · Lets discuss performance metrics: Why wouldn't a portfolio manager prefer the Sortino and/or Calmar ratio over the flawed Sharpe Ratio? Why is the Sharpe Ratio the industry standard …