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Hello Gary,
Sortino Ratio calculation is almost like Sharp`s one. Except You use
MAR in place of risk-free rate and Downside deviation in place of
Deviation (it means that one should consider just fluctuations below
the MAR)
Sortino = (MR - MAR) / DD, where:
MR is the average return for period
MAR is the minimal acceptable rate of return for that period
DD is the downside risk with respect to the minimal acceptable rate of return.
Gary Pearson> Does anyone have this formula
Gary Pearson> Gary
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Andy
@TS Support mailto:andy@xxxxxxxxxxxxx
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