9 99atlantic Jan 24, 2008 #11 Quote from Pro_Trader720: correction... Sortio = ( AROR% - Risk Free % ) / Std. Dev. of negative asset returns. http://www.investopedia.com/terms/s/sortinoratio.asp More... What is considered a "good" Sortio number? For example, I ran it for my fund since 1999 to the end of 2007, got 8.9 (using a 5% risk free ROR). Using it with the S&P, I got - .56.......
Quote from Pro_Trader720: correction... Sortio = ( AROR% - Risk Free % ) / Std. Dev. of negative asset returns. http://www.investopedia.com/terms/s/sortinoratio.asp More... What is considered a "good" Sortio number? For example, I ran it for my fund since 1999 to the end of 2007, got 8.9 (using a 5% risk free ROR). Using it with the S&P, I got - .56.......
D dtan1e Jan 24, 2008 #12 Quote from 99atlantic: What is considered a "good" Sortio number? For example, I ran it for my fund since 1999 to the end of 2007, got 8.9 (using a 5% risk free ROR). Using it with the S&P, I got - .56....... More... if u have few -ve returns for the period u look at, u will find sortino r balloon to a ridiculous number
Quote from 99atlantic: What is considered a "good" Sortio number? For example, I ran it for my fund since 1999 to the end of 2007, got 8.9 (using a 5% risk free ROR). Using it with the S&P, I got - .56....... More... if u have few -ve returns for the period u look at, u will find sortino r balloon to a ridiculous number
