Comments on: Sortino Ratio

By: Farrukh Siraj

Farrukh Siraj — Tue, 08 Dec 2009 06:41:52 +0000

Please tell me that as sortino ratio is a Risk Quant for measuring Fund’s downward volatility, my question is that for what kind of funds’ category is this can i use, i.e: equity, Asset Allocation, Income or money market or either for all funds

By: Dan Hung

Dan Hung — Tue, 11 Aug 2009 03:21:19 +0000

I haven’t tried to simulate figures on a monthly versus daily basis. I believe that you should use a time period long enough to determine a reasonable MAR. My thought is that few people operate strategies which provide such a consistent daily performance as to warrant analysis on this specific a level. Monthly is how I analyze my portfolio performance. Then again, maybe a day trader would disagree. Though, a day trader is less interested in risk/return as opposed to just the pursuit of return.

By: Dan Hung

Dan Hung — Tue, 11 Aug 2009 03:18:57 +0000

I believe it is ‘n’ total periods. Just using the periods when return is less than MAR would skew results in an unpredictable manner.

By: Peter Gregory

Peter Gregory — Thu, 06 Aug 2009 15:16:19 +0000

Dan, very helpful description of Sortino. What is your view of taking monthly or even daily figures. For example we have analyzed 170,000 investment strategies daily for 23 years and selected 11 for our public library. As of end July these are up an average of 46% and I can process Sortino daily (if we can agree on the formula). Would it be more accurate? What do professionals typically do?

By: Sd

Sd — Wed, 05 Aug 2009 19:25:53 +0000

is ‘n’ total periods or just those periods where return is less than MAR