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d to differentiate between "good" and "bad" volatility in the Shape Ratio. If a fund is volatile to the upside [which is generally a good thing) its Sharpe ratio would stgl be low. To quote the Sortino web site: "A comparable downside risk ratio that has come to be called the Sortino ratio has for the n
riods, calculate on overage return lot the losing periods, and then measure the variation between each losing return and the losing return average). Alkeon uses 3.47% for MAR. Sortino Ratio - The Sortino Ratio is similar to the Shape Ratio. except that instead of using standard deviation as the denomina
2 mentions1 same-page
Page ?Same page
d to differentiate between "good" and "bad" volatility in the Shape Ratio. If a fund is volatile to the upside [which is generally a good thing) its Sharpe ratio would stil be low. To quote the Sortino web site: "A comparable downside risk ratio that has come to be called the Sortino ratio has for the n
riods, calculate on overage return for the losing periods, and then measure the variation between each losing return and the losing return average). Alkeon uses 3.47% for MAR. Sortino Ratio - The Sortino Ratio is similar to the Shape Ratio. except that instead of using standard deviation as the denomina
2 mentions1 same-page
Page ?Same page
d to differentiate between "good" and "bad" volatility in the Shape Ratio. If a fund is volatile to the upside [which is generally a good thing) its Sharpe ratio would stil be low. To quote the Sortino web site: "A comparable downside risk ratio that has come to be called the Sortino ratio has for the n
riods, calculate on overage return for the losing periods, and then measure the variation between each losing return and the losing return average). Alkeon uses 3.47% for MAR. Sortino Ratio - The Sortino Ratio is similar to the Shape Ratio. except that instead of using standard deviation as the denomina
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2 mentions1 same-page
Page ?Same page
d to differentiate between "good" and "bad" volatility in the Shape Ratio. If a fund is volatile to the upside [which is generally a good thing) its Sharpe ratio would stgl be low. To quote the Sortino web site: "A comparable downside risk ratio that has come to be called the Sortino ratio has for the n
riods, calculate on overage return lot the losing periods, and then measure the variation between each losing return and the losing return average). Alkeon uses 3.47% for MAR. Sortino Ratio - The Sortino Ratio is similar to the Shape Ratio. except that instead of using standard deviation as the denomina
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Mutual Connections (7)
Entities connected to both Sharpe and Alkeon
Paul Barrett
PERSON12 w/ Sharpe·53 w/ Alkeon
MSCI World
ORGANIZATION27 w/ Sharpe·2 w/ Alkeon
Bloomberg L.P.
ORGANIZATION18 w/ Sharpe·5 w/ Alkeon
Sortino
ORGANIZATION5 w/ Sharpe·4 w/ Alkeon
Delta
ORGANIZATION4 w/ Sharpe·4 w/ Alkeon
the Shape Ratio
ORGANIZATION4 w/ Sharpe·4 w/ Alkeon
the Standard Deviation
ORGANIZATION4 w/ Sharpe·4 w/ Alkeon