sortino ratio 发表评论(0) 编辑词条

Sortino ratio measures the return in excess of the target rate of return (or minimum acceptable return ‘MAR’) under certain downside risk. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target,   or required rate of return. 

R=(R-T)/DR 
Where R= Return of the asset, portfolio or strategy.
          T=Target rate of return or required rate of return. 
          DR=Standard deviation of negative return.