Sortinoarány

Sortino ratio is a risk-adjusted performance measure used in finance to evaluate investment returns. It is similar to the Sharpe ratio but focuses on downside risk, specifically using the standard deviation of negative returns (downside deviation) instead of the total standard deviation. The formula for the Sortino ratio is: (Average Annual Return - Minimum Acceptable Return) / Downside Deviation. The minimum acceptable return (MAR) is typically set at zero or a risk-free rate, representing the return an investor is willing to accept.

The Sortino ratio is particularly useful for investors who are more concerned about losing money than about short-term fluctuations in value. A higher Sortino ratio indicates better performance, meaning the investment is generating more return for each unit of downside risk taken. This metric helps investors differentiate between investments that achieve high returns through volatile price swings and those that achieve steady, less risky growth. It is considered by some to be a more accurate representation of an investment's true performance when considering an investor's aversion to losses.

Unlike the Sharpe ratio, which penalizes both upside and downside volatility equally, the Sortino ratio only considers the volatility of returns below the minimum acceptable return. This makes it a preferred metric for investors who are primarily concerned with capital preservation or minimizing losses, as it provides a clearer picture of how effectively an investment has performed relative to its potential for negative outcomes.

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