Definitions for **"Sortino ratio"**

A variation of the Sharpe ratio which differentiates harmful volatility from...

A risk/return measurement to differentiate between good and bad volatility in the Sharpe Ratio.

A ratio representing excess return over risk-free rate over downside semivariance. It measures a portfolio's return to "bad volatility."

A return/risk measure developed to differentiate between good and bad volatility in the Sharpe Ratio.

Similar to the "Sharpe Ratio," except it uses downside deviation for the denominator, whereas Sharpe uses standard deviation. The Sortino Ratio was developed to differentiate between "good" and "bad" volatility in the Sharpe Ratio.

Annualized measure of the amount of return above the arithmetic average of monthly returns per unit of downside risk. The Sortino Ratio (by mean) takes into account the risk associated with an investment yielding less than the arithmetic mean return. A Sortino Ratio (by mean) greater than 1.5 indicates a strong rate of return per downside deviation thus the returns are high in terms of their risk.

Annualized measure of the amount of return above the risk free rate per unit of downside risk. Downside risk adjusted return The Sortino Ratio (by risk-free) takes into account the risk associated with an investment yielding less than the risk-free rate A Sortino Ratio (by risk-free) greater than 3.0 indicates a strong rate of return per downside deviation thus the returns are high in terms of their risk.

Annualized measure of the amount of return above the Minimal Acceptable Return (M.A.R.) as determined by the individual computing the statistic. Downside risk adjusted return The Sortino Ratio (by M.A.R.) takes into account the risk associated with an investment yielding less than a minimal acceptable return

A return/risk measure given by the annualized average of the monthly returns of the previous year minus the yield of an investment without risk, divided by the downside deviation during the same period. The differentiate between "good" and "bad" volatility in the Sharpe Ratio.

Also called the "upside potential ratio." Similar to the Sharpe ratio, it was developed by the Pension Research Institute to determine the amount of "good" volatility that a fund's investment portfolio possesses -- that is, it seeks to define the amount by which the investment pool's value may increase, based on expected pricing fluctuations.

The Sortino ratio a measure of return per unit of risk. Whereas the Sharpe ratio focuses on all volatility ("good" or "bad"), Sortino uses the downside standard deviation to highlight only the bad volatility 3/4 which is what concerns investors the most. Sortino compares portfolio return to a MAR (minimum acceptable return), which sometimes is defined as treasury-bill yields.

A Sortino Ratio is similar to the Sharpe Ratio, except that instead of using standard deviation as its denominator, it uses Downside Deviation. The Sortino Ratio was developed to differentiate between â€˜goodâ€™ and â€˜badâ€™ volatility in the denominator of the Sharpe Ratio. A Sharpe Ratio will not indicate whether a fund is volatile to the upside (which is generally a good thing) or the downside (which is generally a bad thing). A Sortino Ratio addresses this limitation.

The Sortino ratio is a measure of a risk-adjusted return of an investment asset. It is an extension of the Sharpe ratio. While the Sharpe ratio takes into account any volatility in return of an asset, Sortino ratio differentiates volatility due to up and down movements.