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Sortino ratio (versus Sharpe ratio)

You can download the spreadsheet on our website. The Sortino ratio generalizes (to focus on the downside) from the Sharpe by using:1. In the numerator, instead of excess return (above riskfree), Sortino uses excess above hurdle (MAR, minimum acceptable return)2. In the denominator, instead of volatility (annualized standard deviation), Sortino uses downside deviation.
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