### What is a good value for Sortino ratio?

## What is a good value for Sortino ratio?

2 and above

As a rule of thumb, a Sortino ratio of 2 and above is considered ideal.

**Is a high Sortino ratio good or bad?**

Just like the Sharpe ratio, a higher Sortino ratio result is better. When looking at two similar investments, a rational investor would prefer the one with the higher Sortino ratio because it means that the investment is earning more return per unit of the bad risk that it takes on.

### What is a good Sharpe and Sortino ratio?

Usually, any Sharpe ratio greater than 1.0 is considered acceptable to good by investors. A ratio higher than 2.0 is rated as very good. A ratio of 3.0 or higher is considered excellent. A ratio under 1.0 is considered sub-optimal.

**What does Sortino ratio indicate?**

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.

#### What is downside risk management?

What Is Downside Risk? Downside risk is an estimation of a security’s potential loss in value if market conditions precipitate a decline in that security’s price. Depending on the measure used, downside risk explains a worst-case scenario for an investment and indicates how much the investor stands to lose.

**What is an acceptable information ratio?**

The higher the information ratio, the better. Generally speaking, an information ratio in the 0.40-0.60 range is considered quite good. Information ratios of 1.00 for long periods of time are rare. Typical values for information ratios vary by asset class.

## What is a bad Sortino ratio?

A higher Sortino ratio is better than a lower one as it indicates that the portfolio is operating efficiently by not taking on unnecessary risk that is not being rewarded in the form of higher returns. A low, or negative, Sortino ratio may suggest that the investor is not being rewarded for taking on additional risk.

**How do you evaluate downside risk?**

Specifically, downside risk can be measured either with downside beta or by measuring lower semi-deviation. The statistic below-target semi-deviation or simply target semi-deviation (TSV) has become the industry standard.

### How do you read downside risk?

Downside risk is an estimation of a security’s potential loss in value if market conditions precipitate a decline in that security’s price. Depending on the measure used, downside risk explains a worst-case scenario for an investment and indicates how much the investor stands to lose.

**Is a higher information ratio better?**

What is a Good Number? The higher the information ratio, the better. If the information ratio is less than zero, it means the active manager failed on the first objective of outperforming the benchmark.

#### What is the difference between Sortino ratio and Sharpe ratio?

In other words, Sortino Ratio uses only the standard deviation of the negative returns , while the Sharpe Ratio includes the positive returns in its calculation, thereby punishing upside returns which is what the investors are after in the first place.

**What are Sharpe and Sortino ratios?**

Summary The Sortino ratio is used to determine the risk-adjusted return on investment. It is a refinement of the Sharpe ratio but only penalizes the returns, which have downside risks. To measure the Sortino ratio, start by finding the difference between the weighted mean of return and the risk-free return rate.

## Does Sharpe ratio or Sortino ratio matter?

Sharpe and Sortino ratio can help to identify whether your manager is delivering enough return to make up for the amount of risk you are taking as an investor. If the Sharpe or Sortino ratio is greater than 1 , you have effectively been compensated for this risk, with higher numbers meaning greater risk-adjusted returns.

**What is a good share ratio?**

Usually, any Sharpe ratio greater than 1.0 is considered acceptable to good by investors. A ratio higher than 2.0 is rated as very good. A ratio of 3.0 or higher is considered excellent.

What is a good value for Sortino ratio? 2 and above As a rule of thumb, a Sortino ratio of 2 and above is considered ideal. Is a high Sortino ratio good or bad? Just like the Sharpe ratio, a higher Sortino ratio result is better. When looking at two similar investments, a rational investor…