Sortino Ratio
Learn more about Sortino Ratio
The Sortino ratio is a financial performance measure that evaluates the risk-adjusted return of an investment. It was developed by fund manager Frank A. Sortino and aims to measure the return of an investment while only considering negative returns that fall below a specific risk threshold.
The Sortino ratio allows for the evaluation of the performance of an investment by only taking into account negative returns that fall below a specific risk threshold.
rp = return on assets/strategy
rrf = risk-free rate return
More info : Investopedia
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