Funds that met the qualification criteria and had top quartile returns in their category were ranked based on returns, Sharpe and Sortino ratios
and downside deviation.
So I look at opportunities with a vigilant eye on downside risk measures, like Sortino Ratios
and correlation, focusing on the likelihood that different asset classes will head south at the same time (as they did in 2008).
Note that for most funds, Sortino ratios
are unavailable since returns did extremely rarely or not at all drop below the threshold, that is, the risk-free rate.
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?
15% annualised, the Sharpe and Sortino ratios
I no longer have to spend hours computing Sharpe and Sortino ratios
Institutional Investor analyzed the data in the asset classes, reviewing 2012 returns, 3-year annualized returns, asset size, standard deviations and Sharpe and Sortino ratios