Construct · 1 fields · 1 citations

Sortino ratio: a standalone construct

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Finance

risk-adjusted performance ratio that divides excess return over a target by downside deviation, penalizing only returns below the target.

In finance, Sortino ratio refers to risk-adjusted performance ratio that divides excess return over a target by downside deviation, penalizing only returns below the target. This meaning comes from Sortino (1994) in The Journal of Investing.[1]

Unit
Recovery means
Measured by

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Nearby constructs

deviation4 fields · 5 citationsjingle · one word, four constructs performance6 fields · 8 citationsjingle · one word, five performances return3 fields · 3 citationsjingle · one word, three constructs

References

Sortino, F. A., & Price, L. N. (1994). Performance Measurement in a Downside Risk Framework. The Journal of Investing, 3(3), 59-64. https://doi.org/10.3905/joi.3.3.59

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