4/13/2023 0 Comments Utime stock drop![]() To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2). Adjusted Sortino Ratio: Sortino Ratio/√2.A Sortino Ratio above 1 is considered good. Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility.A Sharpe Ratio above 1 is considered good. Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk.Maximum drawdown is an indicator of downside risk over a specified time period. Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. ![]() Worst year: The worst performance undergone over its lifetime in a given year.Best year: The best performance attained over its lifetime in a given year.A lower volatility is usually preferred to ensure more steady returns over time. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances.Even a small difference in return can have a big impact on the final balance over a long period of time. The time period in this case is approximately 2 year(s). Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period.Final balance: The amount of capital we've accrued over time as of October 2022.In this case, we're starting with a $10,000 investment on April 2021. Initial balance: The amount of starting capital used to invest in the asset or portfolio.
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