Sortino Ratio

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Sortino Ratio

A variation on the Sharpe ratio that measures the risk-adjusted return on an investment. The Sortino ratio considers the possibility that an investment will fall below the required rate of return, rather than volatility in general. It is calculated as follows:

Sortino Ratio = (Realized return - Required return) / Downside risk.

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Sharpe Ratio Sterling Ratio			Where were the financial experts who should have been asking questions that probed beyond the simple Sharpe and Sortino ratios, both of which understate the risk of their respective return streams because they don't adequately capture gap risk? Collateralized debt obligations: who's to blame when the market blows ... by Sumerlin, Marc; Katzovitz, Loren M. / The International Economy The Sortino Ratio was developed to differentiate between deviations on the upside and on the downside, and is more consistent with the investors' concern over risk of losses in their investment. The return in hedge-fund strategies by Al-Sharkas, Adel A. / International Journal of Business For some, the Sortino ratio (see exhibit 2, below), which measures a fund's downside risk, has supplanted the Sharpe ratio, which measures volatility up and down. Mutual fund strategies: a new century demands a new approach by Harrington, Cynthia / Journal of Accountancy			soil boring tests soils engineer Soju SOL Project solar easement solar heating Sold Away Sold-out market Solde des transactions Soldiers and Sailors Civil Relief Act Sole Proprietor sole proprietorship Solicitud de credito solid waste Solidaria Solomon Island Dollar Solvabilite Solvencia Solvency Solvency II Solvency Ratio Solvent Somali Shilling Sonegacao Sopravvenienza Sortino Ratio SOS Sospesi cassa Sotto la par Sou Soujuyou Kyokusen Soukan Kansuu Soulte de conversion Soumission concurrentielle Sound Money Sour Bond Source of Funds Seller Sources and Applications of Funds Statement Sources and Uses of Funds Statement Sous-emploi Souscription South African Futures Exchange South African Pound South African Rand South Asian Association for Regional Cooperation South Korean Won Southern African Customs Union Southern African Development Community Sovereign Sovereign Risk Sovereign Wealth Fund			Sorting algorithms Sorting by Block Interchanges sorting coefficient sorting index Sorting Intolerant from Tolerant Sorting Nexin-Like sorting office sorting offices sorting order sorting out sorting out sorting out sorting out sorting out the men from the boys sorting out the men from the boys sorting out the men from the boys sorting out the men from the boys sorting program sorting table sorting test sorting the wheat from the chaff sorting the wheat from the chaff sorting the wheat from the chaff sorting the wheat from the chaff sorting through sorting through sorting through sorting through Sorting, Simplifying, Sweeping, Standardizing, and Self-Discipline Sorting-by-Private-Information Sortino Ratio Sortino Ratios Sortis Sortis sortita sortitio sortition Sortkey Sortkey Sortment sorts sorts sorts sorts sorts sorts SORTS Automated Formatting System sorts out sorts out sorts out sorts out sorts out the men from the boys sorts out the men from the boys sorts out the men from the boys sorts out the men from the boys sorts the wheat from the chaff sorts the wheat from the chaff sorts the wheat from the chaff sorts the wheat from the chaff sorts through sorts through

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