General Topics
Markets
Technical Topics
Brokerage Firms
Community Lounge
Site Support

# What's a good Sortino ratio?

Discussion in 'Strategy Development' started by mizhael, May 20, 2010.

1. ### mizhael

typically, what's a good Sortino ratio?

Thanks a lot!

2. ### jimbojim

System A has a return of 50% in year 1 and - 20% in year 2.

System 2 has a return of 35% in year 1 and - 5% in year 2.

Please calculate both Sharpe and Sortino ratios and then after we determine that you well understand these notions we will discuss them.

3. ### mizhael

Okay, assuming the risk-free rate is 0, the Sharpe Ratio:

A: 0.3030
B: 0.5303

the Sortino Ratio:

A: 15% / 20% = 0.75
B: 15% / 5% = 3

Hopefully my understanding about the denominator is correct.

http://en.wikipedia.org/wiki/Sortino_ratio

-------------

Still what's the range of a typically good Sortino ratio?

4. ### ronblack

How did you calculate the Sharpe ratios? What are the numerator and denominator in each case and why?

5. ### mizhael

Isn't that just the mean(returns)/std(returns)?

6. ### Rodney King

Why are you discussing the stdev of two (!) datapoints?

7. ### mizhael

why not?

ET IS FREE BECAUSE OF THE FINANCIAL SUPPORT FROM THESE COMPANIES: