Sortino Ratio
The Sortino Ratio is a risk-adjusted performance metric that expresses excess return over a target return divided by downside deviation. It uses downside deviation (the variability of returns that fall below the target) rather than total volatility to characterize risk.
Example: In a quarterly performance report, the portfolio's Sortino Ratio is shown with a MAR of 2%. The report uses this to compare downside-adjusted returns across funds.
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