is Sharpe ratio the best way to measure performance?

Discussion in 'Risk Management' started by PnL Rally, Jan 14, 2008.

  1. What is considered a "good" Sortio number?

    For example, I ran it for my fund since 1999 to the end of 2007, got 8.9 (using a 5% risk free ROR). Using it with the S&P, I got - .56.......
     
    #11     Jan 24, 2008
  2. dtan1e

    dtan1e

    if u have few -ve returns for the period u look at, u will find sortino r balloon to a ridiculous number
     
    #12     Jan 24, 2008