Discussion in 'Strategy Development' started by mizhael, May 20, 2010.
typically, what's a good Sortino ratio?
Thanks a lot!
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.
Okay, assuming the risk-free rate is 0, the Sharpe Ratio:
the Sortino Ratio:
A: 15% / 20% = 0.75
B: 15% / 5% = 3
Hopefully my understanding about the denominator is correct.
Still what's the range of a typically good Sortino ratio?
How did you calculate the Sharpe ratios? What are the numerator and denominator in each case and why?
Isn't that just the mean(returns)/std(returns)?
Why are you discussing the stdev of two (!) datapoints?
Separate names with a comma.