What's a good Sortino ratio?

System A has a return of 50% in year 1 and - 20% in year 2.

System 2 has a return of 35% in year 1 and - 5% in year 2.

Please calculate both Sharpe and Sortino ratios and then after we determine that you well understand these notions we will discuss them.
 
Quote from jimbojim:

System A has a return of 50% in year 1 and - 20% in year 2.

System 2 has a return of 35% in year 1 and - 5% in year 2.

Please calculate both Sharpe and Sortino ratios and then after we determine that you well understand these notions we will discuss them.
More...

Okay, assuming the risk-free rate is 0, the Sharpe Ratio:

A: 0.3030
B: 0.5303

the Sortino Ratio:

A: 15% / 20% = 0.75
B: 15% / 5% = 3

Hopefully my understanding about the denominator is correct.

http://en.wikipedia.org/wiki/Sortino_ratio

-------------

Still what's the range of a typically good Sortino ratio?
 
Quote from mizhael:

Okay, assuming the risk-free rate is 0, the Sharpe Ratio:

A: 0.3030
B: 0.5303

the Sortino Ratio:

A: 15% / 20% = 0.75
B: 15% / 5% = 3

Hopefully my understanding about the denominator is correct.

http://en.wikipedia.org/wiki/Sortino_ratio

-------------

Still what's the range of a typically good Sortino ratio?
More...

How did you calculate the Sharpe ratios? What are the numerator and denominator in each case and why?
 
Quote from ronblack:

How did you calculate the Sharpe ratios? What are the numerator and denominator in each case and why?
More...

Isn't that just the mean(returns)/std(returns)?
 
You must log in or register to reply here.
Back
Top