Sortino Ratio

A return/risk ratio. The return (numerator) is defined as the incremental compound average period return over a minimum acceptable return (MAR), and the risk (denominator) is defined as the downside deviation below the MAR.

Sortino Ratio
Sortino Ratio

Investors who are required to select and monitor investment managers should develop a basic understanding of investment statistics. Quantitative tools can provide you with good insight that you can use in your qualitative interviews with managers and when monitoring your investments.