Explanation of Sharpe and Sortino

Discussion in 'Risk Management' started by Kirribilli, Apr 5, 2012.

  1. Ok, for Q1, according to IB, I was up 7.1% with a Sharpe of 2.63 and a Sortino of 3.02. How do I apply these ratios to my return and communicate them, to a novice? Can they be used to as an addition, somehow, to my return?
     
  2. Have you even tried googling those terms?

    It's lazy of you to expect people to explain those terms to you when the answers are a few keystrokes away....less keystrokes than it took for me to write this in fact....
     
  3. Of course he can Google it -- he just wanted an excuse to broadcast his purported high Sharpe. Do you think he'd have posted if his Sharpe were <i>negative</i> for the period?