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About 24 results for "sortino ratio"

When Sharpe is useless

During development of an intrady strategy I've come across a case where Sharpe ratio (and Sortino too) is a very bad way to benchmark performance. To illustrate this case, imagine a strategy that enters a position and 'brackets' the exit levels with ... Before It's News, 1 month ago

9 images for sortino ratio

Seeking Alpha, 5 months ago
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TrustNet, 6 months ago
TrustNet, 6 months ago
TrustNet, 7 months ago

Time To Question The Concept Of Systematic Risk

Asset pricing models display how financial markets price stocks and securities. There are several rationales for using these models. First, these models are used to determine the expected returns on capital investments. Second, these models help in ...
 Seeking Alpha2 days ago

Stress-Testing Funds Through Two Bear Markets and Two Bull Markets

The 200809 bear market made a bonfire of financials stocks, but all the other sectors were hit fairly hard, too. In contrast, the 200002 bear market crushed tech stocks, but other areas held up fairly well. Let's look at what those bear markets ...
 Morningstar.com2 days ago

When a Value Company is Not a Value

Over the past fifty years, there has been a gradual increase in the amount of company equity transactions. In particular, larger companies have been increasing their share repurchase activity. In classifying companies based on a trailing five-year ...
 Advisor Perspectives4 days ago
Seeking Alpha

Greenblatt Wizardry: A Quantitative Look At The Magic Formula

Click to enlarge (Credit: Pixabay.com) The Magic Formula (MF) is a quantitative investing method devised by famed value investor, Joel Greenblatt. Greenblatt outlined the Magic Formula in his 2004 book "The Little Book that Beats the Market".
 Seeking Alpha1 week ago Quant Investing: Making Momentum Tolerable  Seeking Alpha2 weeks ago Quantitative Value Investing Profile: Low EV/EBIT Multiple  Seeking Alpha2 weeks ago

Backtesting 101, Part 2: Making Sense Of The Data

(Credit: Pixabay.com) In Part 1 of this series on backtesting, we looked at how backtesting is intended to be used with portfolio strategies, and how important it is to look at how the strategy performed over as many different time periods as ...
 Seeking Alpha1 week ago
Moneyweb

Some perspective on global hedge fund reporting

News of North American and European funds dominate the traffic and search engines, channelling unwary researchers down pre-determined passages. It is actually quite a challenge for a curious South African, interested in worldwide South African ...
 Moneyweb1 week ago
Hindu Business Line

Birla Sun Life Frontline Equity Fund: Rock-solid in choppy markets

The fickle nature of the market was in full display over the past few weeks. Two black swan events — the demonetisation of the old ₹500 and ₹1,000 notes, and Donald Trump's victory in the US Presidential elections — sent jitters through the ...
 Hindu Business Line2 weeks ago

FundsIndia.com's rating service adds to suite of products

FundsIndia.com, India's first online investment portal for mutual funds and equities, has just launched its ratings services. The portal already provides a curated list of funds for investors called select funds. So, what's the need for a ratings ...
 Hindu Business Line2 weeks ago
Corporate Adviser

Paul Budgen: The way to compare default funds

Advisers need to sort the wheat from the chaff when comparing default investment propositions says Nest director of business development Paul Budgen Before making a major purchase, whether it's buying a laptop or sorting out the family holiday, I ...
 Corporate Adviser2 weeks ago
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