Definition of Sortino Ratio

Excerpts from Building Wealth with Managed Futures

Sortino Ratio "…considers excess return over Minimum Acceptable Rate of Return and divides it by Downside Deviation."

Detailed information on this and other statistical performance measurements used by the managed futures industry to evaluate CTA performance can be found in Building Wealth with Managed Futures an easy to understand guide to investing in managed futures."      To Purchase

These statistics are available for Advanced and Leaf Subscribers - To Purchase

The Sortino Ratio = (Average Monthly Compound ROR - Minimum Monthly Acceptable ROR*) / Downside Deviation

Minimum Monthly Acceptable ROR is set by the investor