CI Market Dashboard

We have put together a collection of market indicators and track them to help you gauge the direction of the market.

CI Analysis Worksheets

Interactive analysis templates covering DuPont analysis (return on equity), valuing stocks the Warren Buffett way, and more to come.

CI Blog Feed

Big Changes at Apple
posted 3 hours ago by Joe Lan

Facebook Beats Estimates as Advertising Revenue Grows
posted 4 hours ago by Wayne Thorp

Apple Beats Estimates; Announces 7-for-1 Stock Split
posted 4 hours ago by Wayne Thorp for Value Investors
posted 1 day ago by Jaclyn McClellan

Tech Earnings
posted 2 days ago by Joe Lan

Computerized Investing > Second Quarter 2013

The Sortino Ratio

PRINT | | | | COMMENTS (1) | A A   Reset

by CI Staff

In the last couple of installments of Fundamental Focus, we have discussed risk-adjusted performance measures, namely the Sharpe and Treynor ratios (these articles appeared in the Fourth Quarter 2012 and First Quarter 2013 issue, respectively, and are available online at

Both ratios assess a money manager’s ability to generate excess return per unit of total risk. Where the two ratios differ is in their risk measure. Sharpe’s original work focused on total risk, as measured by historical standard deviation of returns, whereas Treynor used systematic or market risk, as measured by the portfolio’s beta. These articles spurred many reader comments, some of which pointed out that these risk measures handle upside and downside risk equally. However, most investors are only concerned with the downside risk (few will complain if their portfolios are rising in value!).

...To continue reading this article you must be a Computerized Investing Subscriber.

Gain exclusive access to this article and all of the benefits and investment education a Computerized Investing subscription offers.

SUBSCRIBE TODAY for just $24.
Log in
Already a CI subscriber? Login to read the rest of this article.

A subscription to Computerized Investing includes a monthly email and access to the CI Website, all of which aim to benefit your investing skills with respect to computers and the Internet.