"A ratio developed by Frank A. Sortino to differentiate between good and bad volatility in the Sharpe ratio. This differentiation of upwards and downwards volatility allows the calculation to provide a risk-adjusted measure of a security or fund's performance without penalizing it for upward price changes. It it is calculated as follows:
..." Sortino ratio: Definition and Much More from Answers.com
2008년 6월 17일 화요일
Sortino ratio
피드 구독하기:
댓글 (Atom)
글
댓글
댓글 없음:
댓글 쓰기