Sortino ratio formula
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「Sortino ratio formula」文章包含有：「Formula&Example」、「SortinoRatio:Definition,Formula」、「SortinoRatio」、「SortinoRatio-Overview」、「TheSortinoRatio」、「Sortinoratio」、「WhatIstheSortinoRatio?FormulaandExample」、「SortinoRatio:Formula,Calculation」、「UsingtheSortinoRatiotoGaugeDownsideRisk」、「SortinoRatioCalculator」
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Formula & Example
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Sortino ratio calculation is done by subtracting the investment portfolio's total earnings from the risk-free rate of return and is then divided by the standard deviation of negative earnings.
Sortino Ratio: Definition, Formula
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The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation.
Sortino Ratio
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The Sortino ratio is calculated by determining the return of a portfolio, subtracting the risk-free rate (rf), and dividing the resulting figure by the implied ...
Sortino Ratio - Overview
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Sortino Ratio = (Average Realized Return – Expected Rate of Return) / Downside Risk Deviation ... The average realized return refers to the weighted mean return ...
The Sortino Ratio
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The calculation for the Sortino ratio is as follows: S = (Mean portfolio return – MAR)/. Downside deviation. Because the Sharpe ratio defines risk as standard.
Sortino ratio
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The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes ...
What Is the Sortino Ratio? Formula and Example
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The Sortino ratio focuses solely on downside volatility, providing a more targeted evaluation of an investment's performance during unfavorable ...
Sortino Ratio: Formula, Calculation
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The Sortino ratio is calculated by taking the portfolio's excess return over the risk-free rate, and dividing it by the portfolio's downside ...
Using the Sortino Ratio to Gauge Downside Risk
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Here's how that equation would look. Sortino ratio = (Rp – Rf) ÷ Downside deviation. Key: Rp: Investment return (actual or forecast)—this is the ...
Sortino Ratio Calculator
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The smart Sortino ratio calculator is an efficient tool that indicates the return of an investment considering its drawdown risk.