基本介紹
中文簡介,英文簡介,
中文簡介
索丁諾比率(SortinoRatio)
但與20年前開發該比率的弗蘭克·索丁諾同名的這一指標在評估對沖基金的過程中也同樣出現問題。“我覺得它被過多地使用是因為它讓對沖基金的業績看上去非常好，”索丁諾說。“它只是表明最低風險，所以很容易對投資者產生誤導”。索丁諾目前是舊金山Pension Research Institute的主管，“我不喜歡人們用我的名字來命名它。”
英文簡介
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, or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. It is thus a measure of risk-adjusted returns that treats risk more realistically than the Sharpe ratio. The ratio is calculated as:
, where R is the asset or portfolio realized return; T is the target or required rate of return for the investment strategy under consideration, (T was originally known as the minimum acceptable return, or MAR); DR is the downside risk. The downside risk is the target semideviation = square root of the target semivariance (TSV). TSV is the return distribution's lower-partial moment of degree 2 (LPM2).
where T is often taken to be the risk free interest rate and f() is the pdf of the returns. Thus, the ratio is the actual rate of return in excess of the investor's target rate of return, per unit of downside risk. The ratio was created by Brian M. Rom in 1986 as an element of Investment Technologies' Post-Modern Portfolio theory portfolio optimization software.
