Sortino Ratio

バージョン 1.0.0.0 (1.29 KB) 作成者: Lorenzo Brancali
This file calculates the Sortino ratio of an investment asset, portfolio or strategy.
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更新 2012/3/12

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The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target. The Sortino ratio is similar to the Sharpe ratio, except it uses downside deviation for the denominator instead of standard deviation, the use of which doesn't discriminate between upside and downside volatility.

引用

Lorenzo Brancali (2024). Sortino Ratio (https://www.mathworks.com/matlabcentral/fileexchange/35599-sortino-ratio), MATLAB Central File Exchange. 取得済み .

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