Что такое Коэффициент Сортино?
Коэффициент Сортино A risk-adjusted performance metric that measures the excess return of a portfolio over the risk-free rate relative only to downside deviation, isolating negative volatility.
Source: CFA Institute, IFRS Foundation, FASB (GAAP), Basel III Framework
How is “Коэффициент Сортино” Used in Practice?
Коэффициент Сортино предпочтительнее для инвестиций, где риски снижения важнее общей волатильности.
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Who Needs to Know This Term?
- Financial Analysts
- Bankers
- Traders
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Что такое Коэффициент Сортино?
A risk-adjusted performance metric that measures the excess return of a portfolio over the risk-free rate relative only to downside deviation, isolating negative volatility.
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