The Sortino reason is a measure for the risk-settled profit of an investment of funds. It is a modification of the Sharpe reason. While the Sharpe reason considers the usual of the investment of funds, the Sortino reason considers only the which is produced by downward-arranged movements. The movements directed upward are considered as favorable and not for the computation of the are consulted.

That means that the Sortio reason does not take the upward-arranged negatively to a rear into account.

Reason is computed as follows:

S = {{{< \! R \! >} - R_f} \ more over \ sigma_d},

is: <R> the expectancy value of the profits, R_f the expectancy value for profits from another "standard" investment of funds, e.g. Government loans and \ sigma_d the standard deviation of the negative gains of the investment of funds.

Reason was developed by franc A. Sortino.

See also

• Modern Portfolio theory

Articles in category "Sortino reason"

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Related Websites

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  While this has certainly led to some of the early struggles, UMass coach Elaine Sortino believes there is another reason why her team isn't quite clicking ...