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- Sortino_ratio abstract "The Sortino ratio was created in 1983 by Brian M. Rom at the software development company Investment Technologies. The ratio is named for Frank A. Sortino, an early popularizer of downside risk optimization. It measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.".
- Sortino_ratio wikiPageID "948888".
- Sortino_ratio wikiPageLength "6593".
- Sortino_ratio wikiPageOutDegree "19".
- Sortino_ratio wikiPageRevisionID "695700069".
- Sortino_ratio wikiPageWikiLink Asset.
- Sortino_ratio wikiPageWikiLink Category:Financial_ratios.
- Sortino_ratio wikiPageWikiLink Log-normal_distribution.
- Sortino_ratio wikiPageWikiLink Modern_portfolio_theory.
- Sortino_ratio wikiPageWikiLink Modigliani_risk-adjusted_performance.
- Sortino_ratio wikiPageWikiLink Omega_ratio.
- Sortino_ratio wikiPageWikiLink Portfolio_(finance).
- Sortino_ratio wikiPageWikiLink Post-modern_portfolio_theory.
- Sortino_ratio wikiPageWikiLink Probability_density_function.
- Sortino_ratio wikiPageWikiLink Rate_of_return.
- Sortino_ratio wikiPageWikiLink Risk-adjusted_return_on_capital.
- Sortino_ratio wikiPageWikiLink Sharpe_ratio.
- Sortino_ratio wikiPageWikiLink Standard_deviation.
- Sortino_ratio wikiPageWikiLink Trading_strategy.
- Sortino_ratio wikiPageWikiLink Upside_potential_ratio.
- Sortino_ratio wikiPageWikiLink V2_ratio.
- Sortino_ratio wikiPageWikiLink Volatility_(finance).
- Sortino_ratio wikiPageWikiLinkText "Sortino ratio".
- Sortino_ratio wikiPageUsesTemplate Template:Reflist.
- Sortino_ratio wikiPageUsesTemplate Template:Stock_market.
- Sortino_ratio subject Category:Financial_ratios.
- Sortino_ratio type Ratio.
- Sortino_ratio comment "The Sortino ratio was created in 1983 by Brian M. Rom at the software development company Investment Technologies. The ratio is named for Frank A. Sortino, an early popularizer of downside risk optimization. It measures the risk-adjusted return of an investment asset, portfolio, or strategy.".
- Sortino_ratio label "Sortino ratio".
- Sortino_ratio sameAs Q471267.
- Sortino_ratio sameAs Sortino_Ratio.
- Sortino_ratio sameAs Indice_di_Sortino.
- Sortino_ratio sameAs m.03skh7.
- Sortino_ratio sameAs Коэффициент_Сортино.
- Sortino_ratio sameAs Q471267.
- Sortino_ratio wasDerivedFrom Sortino_ratio?oldid=695700069.
- Sortino_ratio isPrimaryTopicOf Sortino_ratio.