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Does anyone have the
afl code for the Sortino Ratio, Upside Semivariance & Downside
Semivariance?
<SPAN
class=953183119-15052004><SPAN
class=953183119-15052004><SPAN
class=953183119-15052004><SPAN
class=953183119-15052004>
<B
><SPAN
>Sortino
Ratio<?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office"
/>
<SPAN
>Where R
I = Return for period I
<SPAN
><SPAN
>
Where N = Number of Periods
<SPAN
><SPAN
>
Where R MAR = Period Minimum Acceptable
Return
<SPAN
><SPAN
>
Where DD MAR = Downside Deviation
<SPAN
><SPAN
>
Where L I = R I <SPAN
><SPAN
>-<SPAN
> R
MAR ( IF R I <SPAN
><SPAN
>-<SPAN
> R
MAR <SPAN
><SPAN
><<SPAN
><SPAN
> 0 )or<SPAN
> 0 ( IF R I
<SPAN
><SPAN
>-<SPAN
> R
MAR <SPAN
><SPAN
>³<SPAN
><SPAN
> 0 )
<SPAN
><SPAN
>
<SPAN
> <SPAN
>N<SPAN
>
<FONT
face=Garamond>DD
MAR =<SPAN
> <SPAN
>(<SPAN
> <SPAN
>(<SPAN
><SPAN
>S<FONT
face=Garamond><SPAN
> ( L I ) <B
>2 <SPAN
>)<SPAN
> <SPAN
><SPAN
>¸<FONT
face=Garamond><SPAN
> N <SPAN
>)
½
<SPAN
><SPAN
>
I=1
<SPAN
><SPAN
>
<SPAN
>
<SPAN
>Sortino
Ratio =
(<SPAN
> Compound Period Return
<SPAN
><SPAN
>-<FONT
face=Garamond> R
MAR <SPAN
>)<SPAN
> <SPAN
><SPAN
>¸<SPAN
> DD
MAR
<SPAN
><FONT
face=Garamond>
<B
><SPAN
>Annualized Sortino
Ratio<SPAN
>
<SPAN
><SPAN
>
<SPAN
>
Annualized Sortino = Monthly
Sortino <SPAN
><SPAN
>´<FONT
face=Garamond> ( 12 )
<SPAN
>½<B
><SPAN
>
<SPAN
class=953183119-15052004>
<SPAN
class=953183119-15052004>
<SPAN
class=953183119-15052004>Thanks,
Mr
Valley
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