What's a good Sortino ratio?

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

  1. typically, what's a good Sortino ratio?

    Thanks a lot!
     
  2. 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. 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

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

    ronblack

    How did you calculate the Sharpe ratios? What are the numerator and denominator in each case and why?
     
  5. Isn't that just the mean(returns)/std(returns)?
     
  6. Why are you discussing the stdev of two (!) datapoints?
     
  7. why not?