The Sortino reason is a measure for the risk-settled profit of an investment of funds. It is a modification of the Sharpe reason. While the Sharpe reason considers the usual of the investment of funds, the Sortino reason considers only the which is produced by downward-arranged movements. The movements directed upward are considered as favorable and not for the computation of the are consulted.

That means that the Sortio reason does not take the upward-arranged negatively to a rear into account.

Reason is computed as follows:

S = {{{< \! R \! >} - R_f} \ more over \ sigma_d},

is: <R> the expectancy value of the profits, R_f the expectancy value for profits from another "standard" investment of funds, e.g. Government loans and \ sigma_d the standard deviation of the negative gains of the investment of funds.

Reason was developed by franc A. Sortino.

See also

• Modern Portfolio theory

Articles in category "Sortino reason"

We found here 4 articles.

Related Websites

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• Sharpe Ratio and Sortino Ratio for a portfolio in SQL - The Code ...
  The reason for this is that the Sharpe Ratio's calculation of variance includes positive returns. Proponents of an alternative metric, the Sortino Ratio, ...


• Sharpe Ratio and Sortino Ratio for a portfolio in SQL - The Code ...
  The reason for this is that the Sharpe Ratio's calculation of variance includes positive returns. Proponents of an alternative metric, the Sortino Ratio, ...


• Softball heads to Blue and Gold - Sports
  The pitching has been the "name of the game" all year according to Sortino, and is the main reason that her squad has been able to beat teams such as No. ...


• Softball opens season early with Fiesta Bowl Tournament - Sports
  While Cahalan has yet to give coach Sortino a reason to replace her, senior Jessica Bartlett has developed the reputation of being a dependable and talented ...


• UMass softball looks to regroup after tough start - Sports
  While this has certainly led to some of the early struggles, UMass coach Elaine Sortino believes there is another reason why her team isn't quite clicking ...