Sortino calculation

Discussion in 'Strategy Development' started by mauzj, May 31, 2003.

  1. mauzj

    mauzj

    Are there any online tutorials specifying how to calculate the sortino ratio?

    Thanks,

    The Stats Monkey.
     
  2. Eddy

    Eddy

    Hi,

    I have been looking for the same kind of information few months ago (modified sharpe ratio / sortino ratio calculations) and I couldn't well illustrated examples of their calculations.

    For the record, I ended up using the following document : http://www.hedgefund.net/secure/expl.doc
    and found some information in the Appendix of this pdf file : http://www.tradecenterinc.com/SystemTrac_Q1-2002-TradeSystem_Aberration.pdf

    I recommend as well the following webpage presenting a Bob Fulks paper about the Sharpe Ratio : it offers a great introduction on this notion and an interesting approach on how to handle the margin issue : http://www.miapavia.com/homes/ik2hlb/sr.htm

    Eddy
     
  3. Foz

    Foz

    What part of "(return - risk free rate) / downside standard deviation" is giving you difficulty?
     
  4. has anybody a small excel sheet with a sample calculation - would be nice to have that - thanks
     
  5. torel

    torel

    here (click) a related discussion and code on the wealth-lab site.
     
  6. Ditto, Would someone post their Excel spreadsheet....? Please?

    Michael B.


     
  7. Here you go
     
  8. Hey Thanks
     
  9. Hello 5yrtrader,

    would you please explain why have you used the square root of 12 to calculate the annual deviation & annual downside deviation, also what would be the Annual downside deviation when in a year there's only one month with a negative return (no pun intended)

    Thank you.
     
  10. It's very hard to find info or code that one can have confidence in.

    That's why I'm convinced that many of the Hedge Fund calculations out there...
    Are either done erroneously or deliberately fudged.

    There's really no law against it...
    Unless the numbers are Audited by a reputable US firm.
     
    #10     Aug 31, 2007